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Preheat the oven to 400 degrees F. Line 2 baking pans with parchment paper.
Beat the whole egg with 1 teaspoon of water in a small bowl; set aside.
Beat the egg yolk, cream cheese, sugar, lemon juice and vanilla in a medium bowl with an electric mixer on medium-high speed until smooth.
Lay out the 2 sheets of puff pastry and cut each into 4 squares. Fold the corners of the squares over by about 1 inch to make octagon shapes. Spoon the cream cheese mixture evenly into the center of each (about 2 tablespoons per); do not spread the cream cheese. Brush all of the exposed pastry with the egg wash, then dust generously with sugar.
Bake until puffed and golden brown all over, about 18 minutes. Cool slightly before serving.