Starting from an integrable rank-$n$ vertex model, we construct an explicit family of partition functions indexed by compositions $μ= (μ_1,\dots,μ_n)$. Using the Yang-Baxter algebra of the model and a certain rotation operation that acts on our partition functions, we show that they are eigenfunctions of the Cherednik-Dunkl operators $Y_i$ for all $1 \leq i \leq n$, and are thus equal to nonsymmetric Macdonald polynomials $E_μ$. Our partition functions have the combinatorial interpretation of ensembles of coloured lattice paths which traverse a cylinder. Applying a simple bijection to such path ensembles, we show how to recover the well-known combinatorial formula for $E_μ$ due to Haglund-Haiman-Loehr.