Preheat the oven to 300 degrees F. Line a baking sheet with parchment paper. Break up the almond paste and put it in a large bowl. Add the confectioners' sugar, lemon zest and salt. Beat with a mixer on medium speed until the mixture looks like fine crumbs, about 1 minute. Increase the mixer speed to medium high and beat in the egg white until very smooth, about 2 minutes. Reduce the mixer speed to low and beat in the flour until just combined.
Scoop tablespoon-size balls of dough and roll in the pine nuts to coat. Arrange 1 inch apart on the prepared pan. Press a thin wooden spoon handle or chopstick into each ball to make a deep indentation in the center.
Bake until the cookies are set around the edges but still soft in the center, 22 to 26 minutes. Re-indent the cookies with the back of a small measuring spoon while still warm. Fill with the cherry jam. Let the cookies cool completely on the pans.