Preheat the oven to 400 F.
Unroll the piece of puff pastry. Cut the pastry into 9 evenly sized squares.
Spoon one tablespoon of jam onto on side of each of the pieces of dough. Leave a border of ½" near where you put the jam.
When all the squares have been filled, brush the perimeter of the square with the beaten egg using a pastry brush.
Gently fold the pastry over to make a triangle. Gently press around the filling and press down on the edges slightly to seal the turnover.
Transfer the turnovers to a parchment paper lined pan. Brush the tops of the turnovers with the beaten egg.
Bake at 400 F for 20 minutes or until the tops of the turnovers are golden brown.
Transfer the baked turnovers to a cooling rack and let them cool for 5-10 minutes before putting the glaze on top.
In a small bowl, stir together the milk and icing sugar. You are looking for a very thick glaze that will stay white when drizzled over the turnovers.
Use a small spoon to drizzle the glaze over the turnovers, moving you hand back and forth to create a zigzag pattern.
Let the glaze set for 5-10 minutes and serve warm.