Remove the frozen puff pastry from the freezer 30 minutes before use, to thaw it out.
Preheat the oven to 400 F/205 C.
Create the cream cheese filling. In a bowl add the softened room temp cream cheese, vanilla extract, orange juice, sugar, and egg yolk and cream them together with a mixer until smooth.
In a small bowl add an egg and the water and whisk with a fork to create the egg wash.
Take a sheet of puff pastry and set it on a floured surface. Cut it into 4 squares with a knife or pizza roller. Add egg wash to each of the corners and then fold the corners over creating an octagon shape.
Add a few tablespoons of cream cheese filling to the middle. Then baste the edges of the pastry with egg wash. Sprinkle sugar or a cinnamon and sugar mix over the edges.
Place the danishes onto a sheet pan lined with parchment paper or a silicone mat and bake them for 15 to 20 minutes until golden brown.
Allow them to cool for 10 minutes before serving. You can also add fruit or jelly/jam if you want.