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