To make cookie dough, sift flour and powdered sugar into a medium bowl.
Add almonds, egg whites, cinnamon and lemon peel; beat until smooth.
Cover and refrigerate overnight.
Grease and flour baking sheets.
Preheat oven to 375°F (190°C).
Stir cream into almond mixture.
Spread mixture thinly and evenly over prepared baking sheets.
Bake 1 sheet at a time in center of oven 5 to 7 minutes or until mixture is just golden.
Remove baking sheets from oven and cut partially cooked dough into 4-1/2-inch (11.5-cm) squares with a pastry wheel or sharp knife.
Bake squares 5 minutes longer, or until set but not browned.
Remove squares one at a time from baking sheets while still warm.
Quickly curl squares around the handle of a wooden spoon, pressing edges together to make chimneys.
Remove from wooden handle; cool on a rack.
To make frosting and filling, melt chocolate in a double boiler over low heat.
Spoon melted chocolate over cooled chimneys.
Beat cream until stiff.
Put whipped cream into a pastry bag fitted with a plain or fluted nozzle; pipe cream into chimneys.