Preheat the oven to 400°F (200°C) and line a baking sheet with parchment paper. Set aside.
For the Apple Filling: In a medium saucepan over low heat, bring water, cornstarch, sugar, cinnamon, and lemon juice to a boil, stirring constantly. Continue stirring for 3-4 minutes until the sauce thickens. Add apples, stir, and let simmer for 8-10 minutes or until the apples are tender. Remove from heat and set aside.
For the Cream Cheese Mixture: In a medium mixing bowl, beat cream cheese until fluffy, about 2 minutes. Add sugar, egg yolk, vanilla, and lemon juice. Beat for an additional 2 minutes until smooth.
On a lightly floured surface, unfold the puff pastry dough and roll out the seams. Cut each sheet in half and then cut each strip into 3 pieces, resulting in 12 pieces total.
Place each piece of pastry dough onto the prepared baking sheet. Add 1 tablespoon of cream cheese mixture and 1 tablespoon of apple filling to the center of each piece of dough.
Score the edges of each pastry (about ½ inch from the edge), making a square, but do not cut all the way through. Brush the edges with an egg wash (optional).
Bake in the preheated oven for 12-14 minutes or until golden and puffed. Remove from oven and let cool slightly.
For the Glaze Drizzle: In a small bowl, whisk together powdered sugar, milk, and vanilla until smooth. Drizzle the glaze over the cooled pastries.