In a large measuring cup add the warm water, yeast, egg, salt and sugar. Mix to combine. Stir in the flour, then knead on a floured surface until smooth and elastic. Place the dough in a bowl and cover in plastic wrap and refrigerate for 1 hour.
Roll out the dough on a floured surface into an 18 inch square. Arrange a square of the butter slices in the centre at a 45 degree angle to the corners of the dough so it forms a diamond inside the square. Fold the dough corners over the butter to encase it fully and seal. Roll out the dough into a rectangle.
Take a shorter side and fold 1/3 of the rectangle over towards the centre. Do the same with the opposite side. You will now have a pile of 3 layers, as you would with a business letter. Wrap in plastic wrap and refrigerate for 1 hour.
Repeat this rolling and folding procedure 2 times, letting the dough rest for 15 minutes between each folding session in the fridge.
For the filling, mix the marzipan, butter and sugar into a smooth paste and set aside at room temperature.
Roll out the dough on a floured surface to 22x14 inches, then cut it in half lengthwise. Spread half the filling evenly, lengthwise, down the centre of the dough rectangle. Fold the plain sides of the dough over the filling. Repeat with the other dough rectangle and the rest of the filling. Push the seams of both parcels gently together and turn them over so they are seam side down.
Brush with the egg and dredge in poppy seeds. Cut across into 2 inch slices and place on baking sheets lined with parchment. Cover with tea towels and let rise in the fridge for 30 minutes.
Preheat oven to 425 F. Bake for 5 minutes, then reduce the oven temperature to 400 F and bake for an additional 15 minutes.