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Preheat oven to 350°F (175°C). Lightly grease a 9x13-inch baking dish.
Arrange the cubed Mallorca rolls evenly in the prepared dish.
Whisk together the eggs, milk, cream, sugar, vanilla, cinnamon, salt, and melted butter until smooth and well combined.
Pour the custard evenly over the bread cubes, gently pressing down so the bread absorbs the mixture.
Rest for 15 minutes at room temperature, or cover and refrigerate overnight for deeper flavor.
Bake for 40–45 minutes, or until puffed, golden brown, and set in the center.
Make the glaze: In a small bowl, whisk together powdered sugar, coquito, and rum extract (if using) until smooth.
Drizzle glaze over the warm bake before serving.