Preheat oven to 400F.
Mix cream cheese, confectioner’s sugar, vanilla extract, and lemon zest together until thoroughly combined.
Unfold thawed puff pastry sheet and roll it out into a rectangle that is ¼ inch thick.
Cut 1 inch strips down the left and right thirds of the puff pastry, leaving the middle section untouched.
Add cream cheese mixture to the middle of the puff pastry and then spread the lemon curd over it. 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.
Make a simple egg wash by mixing the egg and water and brush the egg wash over the puff pastry.
Place in a 400 F oven to bake for for 20 minutes or until golden brown.
While the pastry bakes make the glaze by mixing the confectioner’s sugar, milk, vanilla, and lemon zest together in a bowl.
Once the pastry is cooked and has cooled to room temperature drizzle the glaze over and enjoy!