Start by letting the frozen puff pastry thaw at room temperature until softened, which usually takes about 30 minutes.
While waiting for the pastry, preheat your oven to 400ºF (200ºC). Line a baking sheet with parchment paper.
Crack the egg into a small bowl or cup. Add 1 tablespoon (15 mL) of water, and whisk until blended smoothly.
In another small bowl, mix together the Italian cheese blend and mozzarella.
Unfold the thawed puff pastry sheet onto a lightly floured work surface.
Using a pastry brush, apply some of the egg mixture evenly over the dough.
Sprinkle half of the cheese mixture evenly over half of the egg-brushed dough.
Now, fold the uncovered dough over the cheese and press gently to seal.
Brush the top with the remaining egg mixture, sprinkle with half of the remaining cheese mixture, and press gently to help it stick.
Turn the dough over, brush the other side with the egg mixture, sprinkle with the remaining cheese, and press gently again.
Discard any leftover egg mixture.
Cut the pastry vertically into 6 strips or horizontally into 12 smaller strips.
Place the twisted straws evenly spaced on the prepared baking sheet.
Bake in the preheated oven until golden brown, about 10 minutes.
Once baked, let them cool briefly on the baking sheet before transferring to a serving plate.