For the dough, add all the listed ingredients to a bowl and mix until a smooth dough forms. Let the dough rest for 15 minutes.
Take the dough out of the bowl and form it into a long roll. Divide the roll into 5 equal pieces and roll each piece out to a 10-inch diameter.
Lay out the rolled-out pieces of dough and mix the corn starch and flour together. Spread a generous handful of the corn starch and flour mixture on each piece of dough and stack them on top of one another.
Roll out the stacked layers until you have a thin rectangle that's about 16 x 20 inches. Trim off the edges to form an even square.
Finely chop the walnuts, pecans, almonds, and pistachios and mix them until evenly distributed. Set half of the mixed nuts mixture aside for now. Brush melted butter over the dough and sprinkle 1/5 of the other half of the mixed nuts mixture on top.
Use a thin rolling pin to roll up the dough.
Carefully push the rolled-up dough towards the middle and then gently slide it off the rolling pin. Repeat the last few steps for the remaining dough layers until you end up with 5 accordion-style dough pieces.
Preheat the oven to 300°F. Prepare the delicious filling for the donuts by combining the marzipan and the rest of mixed nuts mixture in a bowl and kneading everything with a fork. Form the paste into 5 thin rolls.
Carefully push one paste roll into one of the dough tubes. Repeat with the rest of the dough.
Once all the dough tubes are filled, form them into donuts by joining the ends together. Place the baklava donuts on a greased baking sheet.
Brush melted butter over the baklava donuts and bake for 35 minutes.
Once the baklava donuts have completely cooled, glaze them with a generous layer of honey, sprinkle a few chopped pistachios on top, and let them soak covered for 4-6 hours.
