Mix cream cheese, confectioner’s sugar, vanilla extract, and lemon zest (set 1 teaspoon aside for later) together until thoroughly combined.
Make a simple egg wash by mixing the egg and water. Set aside.
Unfold thawed puff pastry sheet. It will be divided into 3 parts. Place the dough on a parchment paper-lined baking sheet. Lightly brush some of the egg wash along the outer edges of the pastry dough.
Cut 1-inch strips down the left and right thirds of the puff pastry, leaving the middle section untouched.
Spread the cream cheese mixture over the middle of the puff pastry and then spread the lemon curd over it.
Fold the end of the puff pastry up and over the filling.
Fold the top left strip in towards the middle. Fold the top right strip inwards to overlap the left strip. Continue alternating left and right down the length of the puff pastry.
Brush the remaining egg wash over the dough.
Place in a 400 degrees F oven to bake for 20 minutes or until golden brown.
Once the pastry has finished baking remove it from the oven and let it cool completely. Approximately 1 hour.
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.
Serve immediately or store in the refrigerator until ready to serve.