Prepare the lemon curd: In a small saucepan, combine sugar and water. Bring to a boil over medium heat, stirring until the sugar dissolves, about 2 minutes. Remove from the heat and let cool for 5 minutes (the syrup should be warm, not hot).
In a small bowl, whisk together the egg yolk and lemon juice until smooth, then pass the mixture through a sieve.
Add 1 tablespoon of the sugar syrup to the egg yolk mixture and whisk, then pour the egg yolk mixture into the saucepan with the remaining syrup.
Return the saucepan to low heat and cook, whisking constantly, until the mixture thickens to a custard-like consistency, about 5–8 minutes. Do not let it boil.
Transfer the curd to a bowl, cover with plastic wrap pressed directly onto the surface to prevent a skin from forming, and let it cool to room temperature, about 15 minutes.
Prepare the marzipan: Place 2 cups of blanched almonds in a food processor and pulse 8-10 times, until very finely ground and sandy.
Add 1 cup powdered sugar and pulse 4-6 more times to combine.
Add the lemon zest, 1 egg white, Grand Marnier, and salt. Process until a smooth, pliable dough forms, about 30 seconds.
Roll the marzipan into small, cherry tomato-sized balls (about ½ tablespoon each), place on a plate and cover with plastic wrap.
Working with one ball at a time, leaving the rest covered, use your pinky or the wide part of a chopstick to make a well in the center of each marzipan ball. Use a small spoon to fill each well with about ¼ teaspoon of lemon curd. Gently pinch the marzipan closed and reshape into a ball. Roll each ball in powdered sugar and place into a mini candy liner. Repeat with the remaining balls and place in an airtight container in the fridge.
Keep marzipan in an airtight container in the fridge for up to 4 days.
Variation: To make the chocolate covered marzipan, prepare the marzipan (steps 7–10), omitting the lemon zest. Place 6 oz of dark chocolate (60%-70%) in a small microwave-safe bowl or mug. Microwave in 30-second intervals, stirring between each, until fully melted and smooth (1½–2 minutes total). Lower a marzipan ball into the melted chocolate and, using a fork, roll it around until fully covered. Lift the ball with the fork, gently shaking to let excess chocolate drip off. Transfer to a sheet pan lined with parchment paper and repeat with the remaining balls. Refrigerate until set, about 45–60 minutes. Then transfer to mini candy liners and place in an airtight container for up to 4 days.
