Preheat oven to 400 degrees F. Cover a baking sheet with a silicon mat or parchment paper.

In a bowl, mix together softened cream cheese, powdered sugar and vanilla. Stir until smooth and combined.

If frozen, thaw puff pastry according to directions. Lay out one sheet and press out the seams so the sheet it smooth. 

Add the strawberry jam in a layer all the way to the edge of the pastry sheet. Add cream cheese mixture on top being careful not to move the jam around too much. Top with the second sheet of puff pastry.

Cut the pastry into ½-inch strips using a pizza cutter or sharp knife. Holding one end of the strip in each hand, twist the ends in opposite directions until the entire strip is twisted. Lay on baking sheet.

In a small bowl, combine the egg and water. Whisk together.

Brush each twist with egg mixture and bake for 22-25 minutes, until golden.