Thaw the puff pastry according to package instructions, about 30 minutes at room temperature.
In a mixing bowl, combine cream cheese, powdered sugar, vanilla extract, and lemon zest. Beat until smooth and creamy.
Preheat the oven to 400°F (200°C).
On a floured surface, roll out the puff pastry to about 1/8 inch thick and cut into 4x4 inch squares.
Place a spoonful of cream cheese filling and a spoonful of cherry pie filling in the center of each square. Fold corners towards the center and pinch to seal.
Brush the tops with the beaten egg for a golden finish.
Bake on a parchment-lined baking sheet for 15-20 minutes until golden brown.
Cool on a wire rack for a few minutes before serving.
Notes
For variations, consider using different fruits or adding nuts to the filling.