In a mixing bowl combine the marzipan, powdered sugar, lemon and orange zests, extract, 1 packet of vanilla sugar and 1 tablespoon of the egg. Mix well to combine and divide in half. Place each half on plastic wrap and roll into a 9” long log. Chill at least one hour. Can be made up to a week ahead of time. Whisk the remaining egg with the water.
When ready to assemble and bake, preheat oven to 400 Def. F. Line a cookie sheet with parchment paper.
Working with one sheet of puff pastry at a time, keep it on the parchment paper it comes with and lightly flour the top. Roll out to about 11” long. Place one of the filling logs in the middle and brush either side of the pastry with egg wash. Roll up the puff pastry and tuck the sides in, place seam side down on one side of the baking sheet. Repeat with other puff pastry and filling log. Brush the tops with the egg wash, sprinkle the tops with sliced almonds and sprinkle vanilla sugar over the top.
Bake for 30-35 minutes or until very golden and the puff pastry is cooked. If the tops are starting to look too brown, cover with foil until finished baking. Remove from oven and brush the apricot jam over the tops. Let cool 10 minutes before dusting the tops with powdered sugar. Slice into 1 ½” thick pieces and serve warm with hot coffee.