Preheat oven to 400°. In a large bowl, beat cream cheese and sugar until fluffy. Add egg yolks, lemon peel, vanilla and salt; beat on low speed until blended.
On a lightly floured surface, roll out each sheet of puff pastry into a 12-in. square. Cut each into nine squares. Spoon 2-1/2 teaspoons of cheese mixture into the center of each square.
Whisk egg and water; lightly brush over edges. Bring two opposite corners of pastry over filling; pinch to seal. Place on a greased baking sheet; brush with remaining egg mixture. Bake 10-12 minutes or until golden brown. Yield: 1-1/2 dozen.