In a large bowl, with your fingers or a pastry blender, rub or cut almond paste into sugar until well blended. With a mixer on medium speed, beat in butter until smooth. Beat in egg, orange peel, and vanilla, scraping down sides of bowl as necessary. Stir in milk.
In another bowl, mix flour with baking powder, cinnamon, cloves, and salt. Stir into butter mixture until well blended. Spoon batter into buttered and floured 2-inch-long madeleine molds (fill each hollow about 3/4 full).
Bake in a 350° oven until tops of madeleines are lightly browned and spring back when gently pressed, 12 to 15 minutes. Invert the pan over a rack to release madeleines. Serve warm, or cool completely and store airtight.
Notes: Nutritional analysis per madeleine. If you like, while they're still warm, dust the cookies with 2 tablespoons of powdered sugar mixed with 1/2 teaspoon cinnamon. Although best fresh, they can be stored airtight at room temperature for up to 1 week.