Preheat oven to 350°F. In a food processor, grind up the almonds until they're a fine, sand-like texture. Remove from the food processor.
In the food processor, grind up the pine nuts until they're a fine texture as well. The pine nuts are oilier than the almonds so they will be more like a paste than the almonds.
In a small bowl, beat the egg, egg yolks and rum together until well-incorporated.
In a bowl, add the flour, ground almonds, and sift the icing sugar on top. Add the ground pine nuts. Add the lemon zest and cinnamon. Mix together with a spoon, and make a well in the center.
Add the egg mixture to the well. Knead with your hands until the dough starts to come together. Put the dough onto a flat surface and continue kneading until the dough is smooth.
Cut a piece off the dough and roll it into a log. Cut a small piece off of the log and roll it between your hands into a ball. The balls should be about ¾-1" in diameter.
Place the balls on a parchment-lined baking sheet. Bake in the oven for approximately 15 minutes, or as soon as they're slightly golden on the edges. Remove from the oven and let cool before serving.