Combine the peanut butter, mascarpone, honey and vanilla extract in a medium bowl. Using a rubber spatula, mix everything together until smooth and evenly combined.
Spread 10 slices of pound cake with 1 tablespoon of the peanut butter mixture. Then spread with 1 teaspoon grape jelly. Complete the sandwiches with a second slice of pound cake. Use a 1 1/2-inch fluted round cutter to cut out little finger sandwiches.