Place egg whites in a small bowl; let stand at room temperature for 30 minutes. Sift almond flour, 1-¼ cups confectioners' sugar and cinnamon together twice.
Preheat oven to 325°. Beat egg whites on medium speed until soft peaks form. Gradually add sugar, 1 tablespoon at a time, beating on high until stiff peaks form. Fold in almond flour mixture.
With a pastry bag, pipe 1-in.-diameter cookies 2 in. apart onto parchment-lined baking sheets. Bake until lightly browned and firm to the touch, 9-12 minutes. Keeping cookies on the parchment, transfer to wire racks; cool completely.
For filling, in a small bowl, beat cream cheese and butter until creamy. Beat in vanilla. Gradually beat in confectioners’ sugar until fluffy. Refrigerate until mixture firms to a spreading consistency, about 10 minutes.
Spread about ¼ teaspoon filling onto the bottom of each of half of the cookies; top with remaining cookies. Sprinkle with additional cinnamon. Store in airtight containers in the refrigerator.
