Thaw two sheets of puff pastry on the counter for about 30 minutes or microwave for 30 seconds.

In a bowl, beat softened cream cheese with granulated sugar until smooth, then mix in egg yolk, lemon juice, and vanilla extract.

Unfold puff pastry sheets on a floured surface, cut each into 6 rectangles, and score a smaller rectangle in the center of each piece.

Fill each scored rectangle with about 2 tablespoons of the cream cheese filling.

Brush edges of each pastry with egg wash and sprinkle coarse sugar on top.

Preheat oven to 375°F (190°C), bake pastries on a parchment-lined sheet for 15-20 minutes until golden brown.

Let pastries cool for 10-15 minutes, then mix powdered sugar with milk to glaze and drizzle over pastries.