Preheat oven to 400 degrees. Line a baking sheet with parchment paper or a silicone baking sheet.
On a lightly floured surface roll out thawed puff pastry into a 12×9″ rectangle. Cut in half lengthwise, yielding 2 4-½” strips. Cut those two strips crosswise into thirds, to yield six 4×4 ½” pieces.
With a knife, score ½” border around the edge of each piece of puff pastry. Use a fork to make five or six pricks into the dough within the border of each piece. This will help keep the middle of each piece from rising.
In a bowl, stir together softened cream cheese, sugar, and vanilla. Spoon about 2-3 tablespoons of mixture into the middle of each piece of dough and spread around evenly, ensuring the mix stays within the borders.
In the middle of the cream cheese, add 3-4 slices of apple from the apple pie filling into the middle.
In a small dish, whisk together the egg and water, and brush it around the edges of the danishes.
Bake for 20 minutes, on the middle rack and rotate the baking sheet half way through baking.
Remove from baking sheet and cool on a wire rack. Serve warm or room temperature. Sprinkle with powdered sugar before serving.
