Position a rack in the middle of the oven and preheat to 400 degrees F. Line a baking sheet with parchment paper.
Put the water, butter, sugar, and salt in a medium saucepan. Bring to a boil over medium heat, whisking until the butter and sugar melts. Remove pan from the heat and sift the flour into the pan. Stir the dough together with a wooden spoon. Return to the heat and stir constantly until pulls away from the sides of the pan and is slightly shiny, about 3 minutes.
Transfer the dough to a medium bowl, and beat until cooled, about 2 minutes. Add the cayenne, and whole eggs, 1 at a time, incorporating each 1 thoroughly before adding the next. Mix in the mustard and cheese.
Put 1/4-inch plain tip in a pastry bag, and spoon the dough into the bag. Pipe 3 1/2-inch long thin finger-like shapes onto prepared pans. Beat the egg yolk with a tablespoon of water and dab or brush the tops of each witches' finger with it. Lay an almond on the end of each witches finger so that it looks like a nail, sprinkle fingers with kosher salt.
Bake for 15 minutes, then reduce the temperature to 350 degrees F. Continue baking until the fingers are golden brown and slightly crisp, about 5 minutes more. Cool on a rack.
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