Preheat oven to 400°F (200°C) and line a baking sheet with parchment paper.

In a bowl, beat the cream cheese, sugar, vanilla extract, and lemon zest (if using) together until smooth and fluffy.

Unfold the puff pastry sheet on a lightly floured surface and cut into four equal squares.

Divide the cream cheese filling evenly among the squares, placing it in the center of each square.

Fold one corner of each square over to the opposite corner, forming a triangle or envelope shape; press edges to seal, leaving a border around the filling.

Beat the egg with milk or cream to make an egg wash. Brush the edges of the pastry lightly with egg wash.

Transfer the filled pastries to the prepared baking sheet, spacing them about 1 inch apart. Brush the tops with remaining egg wash.

Bake for 15–18 minutes, or until the pastry is golden and puffed and the filling is set.

Remove from oven and let cool slightly. Dust with powdered sugar before serving, if desired.