01 - Set oven temperature to 400°F. Prepare a baking sheet by lining it with parchment paper.
02 - Combine cranberries, sugar, water, and orange zest in a small saucepan. Bring to a boil, then reduce heat to simmer. Cook for 8 to 10 minutes, stirring occasionally until the mixture thickens. Remove from heat and allow to cool.
03 - In a mixing bowl, blend softened cream cheese, granulated sugar, vanilla extract, and lemon zest until smooth and creamy.
04 - On a lightly floured surface, roll out puff pastry to a 12 x 12 inch square. Cut into 8 equal squares.
05 - Place a generous spoonful of cream cheese filling in the center of each pastry square, then top with a teaspoon of cranberry mixture.
06 - Fold two opposite corners of each square toward the center, overlapping slightly, and press gently to seal.
07 - Arrange pastries on the prepared baking sheet. Brush the tops with the beaten egg to promote browning.
08 - Bake in the preheated oven for 18 to 22 minutes, until golden brown and puffed. Transfer to a wire rack to cool.
09 - In a small bowl, whisk powdered sugar with enough milk to form a thick glaze. Drizzle the glaze over cooled pastries.