Preheat oven to 400 degrees. Spray two baking sheets with non-stick baking spray or line with silicone baking mats or parchment paper. Set aside.

With a handheld electric beater or in the bowl of a standing mixture, beat cream cheese and sugar on low until combined. Add vanilla and mix together. Add lemon zest and juice and mix again. Chill in refrigerator until ready to use.

Lightly flour the counter or board and remove the puff pastry sheets from refrigerator. Unfold one sheet and with the short side facing you, cut it lengthwise into 6 strips using a very sharp knife or a pizza wheel. Repeat with the remaining pastry sheet, making a total of 12 strips total.

Twist 1 pastry strip and then carefully coil it into a spiral so it looks like a circle. Transfer it to the baking sheet. Tuck the end of the spiral (the extra piece of dough) under the bottom of the Danish. Repeat with the remaining strips. Make an indentation in the center of each Danish and add two tablespoons of the cream cheese filling.

In a small bowl, beat egg and add a teaspoon or two of water. Brush the egg mixture over the Danish.

Bake for 15 -17 minutes or until golden brown. Move to wire rack.

While Danish are baking, make the glaze: mix 3-4 tbsp. milk with 1 cup of Confectioner's sugar and drizzle over still warm Danish. Enjoy!