Preheat your oven to 400°F (200°C). Thaw your puff pastry. Roll each sheet into two rectangles measuring about 9x12 inches. Cut each rectangle into 6 smaller pieces for a total of 12 pastries. Place them on a baking sheet lined with parchment paper, leaving space between each piece.

In a mixing bowl, combine pumpkin puree, sugar, vanilla extract, and pumpkin pie spice with one egg, blending until creamy. In another bowl, beat softened cream cheese with some sugar and vanilla extract until smooth.

On the prepared baking sheets, lay six rectangles of puff pastry. Prick the centers with a fork. Spoon a dollop of cream cheese filling onto each rectangle, followed by the pumpkin mixture. Use a toothpick to swirl the fillings together.

Whisk together an egg with 2 tablespoons of water to create an egg wash. Brush around the edges of each pastry. Bake for about 20 minutes, or until golden brown and puffed.

While warm, prepare the glaze by combining powdered sugar with a splash of milk until smooth. Drizzle over the danishes before serving.