For any d ≥ 4, we prove that there are examples of (complete or excellent) d-dimensional mixed characteristic normal local rings admitting no small Cohen-Macaulay algebra. We give two different proofs. While the first proof is not constructive, the second one gives an explicit example based on an example constructed by B. Bhatt. Moreover, it is shown that our explicit example admits a small Cohen-Macaulay module even though it does not admit a small Cohen-Macaulay algebra.