Preheat oven to 400 °F (200 °C). Line a baking sheet with parchment paper.

In a small bowl, beat cream cheese, powdered sugar, lemon juice, vanilla, and lemon zest until smooth.

On a lightly floured surface, unfold the puff pastry. Cut into 4 equal squares (4 × 4 inches each).

Place 1–2 Tbsp of cream cheese filling in the center of each square.

Using a sharp knife, cut a small slit in the middle of each edge of the square (making 4 slits per square).

Gently fold every other corner or triangle flap toward the center, overlapping slightly to form a pinwheel shape.

In a small bowl, whisk the egg and water for egg wash. Brush pastry edges lightly with the wash.

Bake for 15–18 minutes until pastries are puffed and golden brown.

If using glaze, whisk powdered sugar and milk until smooth. Drizzle over warm danishes.