Make the filling. In a small bowl mix cream cheese, confectioner’s sugar, vanilla extract, and lemon zest together until thoroughly combined.
Prepare dough. Unfold the thawed puff pastry sheet. Place the dough on a parchment paper-lined baking sheet. Lightly brush some of the eggwash along the edges of the pastry dough.
Braid. Fold the end of the puff pastry up and over, then fold the top strip from the left in towards the middle. Fold a strip from the right inwards to overlap the left strip. Continue alternating left and right down the length of the puff pastry.
Glaze. When the lemon pastry has cooled to room temperature mix up your glaze by mixing the confectioner’s sugar, milk, and lemon zest together in a bowl. Drizzle the glaze over it.