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Place a rack in middle of oven; preheat to 450°F. Very thinly slice parsnip with a vegetable peeler to create wide, long ribbons.
Whisk soy sauce, paprika, and ¼ cup oil in a medium bowl. Add parsnip ribbons, toss to combine, and let sit 10 minutes.
Meanwhile, stuff heaping ½-teaspoonfuls of cheese into each date. Place 1 almond in the center of each. Wrap parsnip ribbons around each date, using 2 ribbons if necessary to cover middle section of date; reserve soy sauce mixture. Secure ribbons with a toothpick. Arrange dates on a parchment-lined rimmed baking sheet.
Bake 5 minutes, then remove toothpicks and brush with soy sauce mixture. Continue to bake until parsnip ribbons are browned and slightly crisped, about 3 minutes more. Serve immediately.
Dates can be assembled 1 day ahead; cover and chill. Bring to room temperature before baking.