To prepare the pastry, combine 1/4 cup warm water and milk in a small bowl or measuring cup. Add egg and whisk to combine. Set aside.
In the bowl of a food processor, pulse the flour, yeast, salt, and sugar until incorporated. Add butter and pulse 4-5 times, until butter is evenly chopped but still visible in large-ish (1/2-inch or so) chunks. DO NOT OVER-PROCESS.
Dump the contents of the food processor into a large bowl, and quickly fold in the milk mixture using your hands or a large rubber spatula until just incorporated. Do not overmix: the dough will be pretty messy at this point, and it’s supposed to be that way.
Cover with plastic wrap and refrigerate overnight or up to 4 days.
The day before, remove the dough from the refrigerator and let sit at room temperature for no more than 30 minutes. Turn out onto a lightly floured surface, and roll into an 18-inch square. Fold into thirds like a business letter. Roll again into an 18-inch square, then fold and roll once more. The dough should start to get a bit smoother with each roll and fold.
Finally, fold the dough into thirds once more, then fold that rectangle into thirds in the opposite direction, forming a 6-inch square piece. Wrap tightly in plastic wrap and refrigerate for 30 minutes.
Pulse sugar, orange zest, and cinnamon in the bowl of a food processor until evenly incorporated.
Brush a 12-cup muffin tin with melted butter. Dust cups with about 2 tablespoons (divided evenly among cups) of sugar mixture.
To shape buns, on a lightly floured surface, roll dough to a 9-by-18-inch rectangle, with the long edge closest to you.
Lightly dust a clean surface with powdered sugar. Roll marzipan into a 7-by-18-inch rectangle. You may need to knead your marzipan into a workable dough if it is on the hard side. You can also use almond paste, just knead in powdered sugar as needed until it forms a workable dough.
Evenly brush dough with 1 tablespoon of orange blossom water. Lay marzipan on top, lining up the bottom long edge closest to you as well as sides. There should be a few inches of dough along the top edge, this is important for the buns to seal properly.
Brush marzipan with remaining orange blossom water, then sprinkle with about 1/2 cup of remaining sugar mixture evenly over entire marzipan layer.
Starting with the long edge closest do you, tightly roll into a cylinder; pinch to seal along edge. Using a sharp serrated knife, gently cut cylinder into 12 even discs 1 1/2-inches thick. Gently pull the knife back and forth through the dough, letting the teeth do the work; do not saw or squish.
Place one disc into each muffin cup, with the cut spiral facing up. Sprinkle tops with remaining sugar.
At this point, the rolls can be refrigerated overnight if you like. Simply cover and refrigerate. Take them out 1 to 2 hours before you’d like to eat.
Preheat oven to 375 degrees F. Set pan in a warm spot (like on top of the preheating oven) to rise until buns are noticeable puffed, about 45 minutes to 1 hour (slightly longer if they had been refrigerated).
Place muffin tin on a cookie sheet (to catch any stray drips) and bake for 25 to 35 minutes, or until golden brown. Remove from oven and let cool for at least 5 but NO MORE THAN 10 minutes, then turn upside down onto a platter to serve. If the buns are sticking, try slightly twisting them (in the opposite direction of the swirl) to release the bottoms. Keep them upside down to prevent them from sticking to the plates. Serve warm.
