Preheat oven to 400°F and line two baking sheets with parchment paper.
Add the cream cheese, lemon juice, lemon zest, vanilla extract and sugar to the bowl of a stand mixer fitted with the paddle attachment. Beat the mixture until it is creamy then transfer it to a sealable plastic bag.
Lightly flour your work surface. Roll each sheet of puff pastry into a 10-inch square then cut each square into four smaller squares. Fold the squares in half diagonally then cut a 1-inch border around the triangles (except for the very tip) to form diamonds. Open the pastries, then invert the folds so they’re opposite each another.
Space the pastries 2 inches apart on the baking sheets then pipe the cream cheese filling into the center of each pastry. Whisk the egg in a small bowl then brush the egg wash atop the pastries except for the area with the cream cheese. Sprinkle the edges of the pastries with the sanding sugar (optional).
Bake the pastries for 15 to 18 minutes until they are golden brown then remove them from the oven then transfer them to a rack to cool.