Preheat the oven to 400°F (200°C) and line a large baking sheet with parchment paper.

In a medium mixing bowl, combine the cream cheese, sugar, egg yolk, vanilla extract, and lemon zest. Beat until smooth and creamy.

Unfold the puff pastry sheet onto a lightly floured surface and cut into 8 equal rectangles.

Using a sharp knife, score a 1/2-inch border around the inside of each rectangle, being careful not to cut all the way through the dough.

Prick the centers inside the scored border with a fork to prevent excessive rising in the middle.

Place approximately 1 to 1.5 tablespoons of the cream cheese filling in the center of each pastry rectangle.

Whisk the remaining egg with 1 tablespoon of water to create an egg wash and brush it onto the borders of the pastries.

Bake for 18 to 20 minutes until the pastry is golden brown and the filling is set. Cool on a wire rack for at least 10 minutes before serving.