In a large bowl, using a handheld mixer on medium-high speed (or using a whisk), beat cream cheese until smooth, 1 to 2 minutes. Add egg yolk, confectioners' sugar, lemon zest, and salt and beat until combined.

Line a large cutting board with foil, then rub a couple teaspoons of oil onto foil to coat. Place pastry on foil, then fold each corner in 2” to make an octagon. Transfer cream cheese mixture to the center of pastry; smooth into an even layer, leaving about a 1” border.

Spoon ¼ cup jam into the center of cream cheese mixture; smooth into an even layer, leaving a 1” border of cream cheese mixture. Beat egg white with and brush all over exposed pastry dough. Sprinkle with granulated sugar. Place cutting board in freezer for 10 minutes.

Meanwhile, arrange a rack in center of oven; preheat to 400°. Place a medium baking sheet in oven to preheat.

Carefully remove hot baking sheet from oven and place somewhere stable and heatproof. Remove cutting board from freezer and hold over hot baking sheet. Gently slide foil (and Danish) off cutting board onto baking sheet.

Bake Danish, turning halfway through and tenting with foil if pastry gets too dark on top, until pastry is puffed and cooked through, 20 to 25 minutes. Spread remaining jam over baked jam for freshness and color, then transfer to a wire rack and let cool at least 45 minutes.

In a small bowl, whisk confectioners’ sugar and milk, adding up to 1 tsp. more milk if needed, until smooth (if using). Drizzle over cooled Danish.