These almond-filled pastry pockets are much better than the store-bought variety. Make sure to crimp the edges firmly so the pockets don't leak.
In a large bowl, whisk together flour and salt. In another large bowl, using an electric mixer, beat butter and granulated sugar on high, scraping down bowl as needed, until light and fluffy, about 4 minutes. Add whole egg and beat to combine. Beat in half the flour mixture, then milk and remaining flour mixture. Turn dough out onto a lightly floured work surface and gently knead to combine. Divide dough in half. Lightly flour a large piece of parchment paper and roll out 1 dough piece to a 9-by-12-inch rectangle. Repeat with remaining dough and another piece parchment. Refrigerate until firm, 30 minutes.
In a food processor, pulse almonds until coarsely chopped. Add 3/4 cup confectioners' sugar, brown sugar, 1 tablespoon cinnamon, and 5 teaspoons water; pulse until combined. Remove 1 dough sheet from refrigerator and cut into twelve 2-by-4 1/2-inch rectangles. Spread half with 1 heaping teaspoon almond mixture each, leaving a 1/2-inch border. Brush edges with yolk; top with remaining dough pieces. With the tines of a fork, crimp edges firmly. Brush tops with yolk. Repeat with remaining dough.
Chill pastries on two rimmed baking sheets until firm, 30 minutes (or up to 1 day). Preheat oven to 350 degrees, with racks in upper and lower thirds. Bake until edges are golden, 20 minutes, rotating sheets halfway through. Let cool completely on sheets on wire racks.
In a bowl, whisk together 3/4 cup confectioners' sugar, 1/4 teaspoon cinnamon, and 5 teaspoons water. With an offset spatula or table knife, spread glaze over pockets. Let set 5 minutes.