Preheat oven to 375 degrees F. Combine sugar and cinnamon in small bowl. Set aside. Combine egg whites and water in another small bowl; beat lightly with fork. Set aside.
Combine butter, egg yolks and vanilla extract in large bowl. Blend in cake mix gradually. Beat at low speed with electric mixer until blended. Roll 1 rounded teaspoon of dough into ball. Dip half the ball into egg white mixture then into cinnamon-sugar mixture. Place ball sugar side up on ungreased baking sheet. Press nut on top. Repeat with remaining dough, placing balls 2-inches apart.
Bake at 375 degrees F for 9 to 12 minutes or until edges are light golden brown. Cool 2 minutes on baking sheets. Remove to cooling racks. Store in airtight container.