cheese danish recipe

1 package (17.3 ounces) puff pastry sheets, thawed - 1 large egg, beaten (for egg wash) **For the Cheese Filling:** - 8 ounces cream cheese, softened - 1/4 cup granulated sugar - 1 large egg yolk - 1 teaspoon vanilla extract - 1/2 teaspoon lemon zest (optional) **For the Glaze:** - 1/2 cup powdered sugar - 1-2 tablespoons milk - 1/2 teaspoon vanilla extract