Preheat oven to 400° and line a baking sheet(s) with parchment paper. Set aside.
For the Apple Filling
In a medium saucepan over low heat, bring water, cornstarch, sugar, cinnamon and lemon juice to a boil, stirring constantly.
Continue stirring for 3-4 minutes until the sauce thickens up.
Once the sauce has thickened, add apples, stir and let simmer for 8-10 minutes.
For the Cream Cheese Mixture
In a medium mixing bowl, beat cream cheese until fluffy, about 2-3 minutes.
Add sugar, egg yolk, vanilla, lemon juice and beat for an additional 2 minutes.
For the Egg Wash
In a small bowl, whisk egg and water together until combined. Set aside.
Making the Pastries
On a lightly floured surface, roll out seams of pastry dough and cut dough in half lengthwise. Then cut each strip into three equal pieces (for a total of 6 pastries per sheet.
Fold each of the 12 sheets into a triangle. Make a cut about ½ inch from the two sides but do not cut all the way to the tip of the triangle.
Unfold each triangle and fold one side over to the other side and the other side back over to the opposite side.
Add a spoonful of cream cheese mixture and a spoonful of apple filling into the center of each pastry.
Place on the prepared baking sheet. Brush edges of pastry with egg wash, sprinkle with sugar, if desired, and bake for 12-14 minutes or until golden.
For the Glaze Drizzle
In a small bowl, mix powdered sugar, milk and vanilla together until combined.