Soften and mix the filling: In a bowl, beat the cream cheese, granulated sugar, vanilla, lemon zest, and a pinch of salt until smooth and fluffy, about 1–2 minutes. Set aside.

Prep the pastry: Unfold the thawed puff pastry on a lightly floured surface. Gently roll to smooth the seams and even the thickness.

Cut and shape: Slice the pastry into 6–8 equal squares. For a classic look, fold each corner slightly toward the center to create a well, or cut thin strips and twist into rings. Press the centers slightly so they don’t puff too high.

Make the egg wash: Beat the egg with 1 teaspoon of water. Brush the edges of each pastry square with a light layer.

Add the filling: Spoon about 1 heaping tablespoon of cream cheese filling into the center of each square. Spread gently, leaving a border around the edges.

Preheat the air fryer: Set to 350°F (175°C) for 3–4 minutes. Line the basket with parchment designed for air fryers or use a light spray of oil. Avoid regular parchment without holes unless weighed down by the pastry.

Arrange and bake: Place pastries in the basket with space between them. Air fry at 350°F for 7–10 minutes, until puffed and golden. Cook in batches if needed.

Optional sugar sprinkle: For a caramelized touch, sprinkle the edges with a little granulated sugar halfway through cooking.

Cool slightly: Let pastries cool on a rack for 5–10 minutes. This helps set the filling and keeps the bottoms crisp.

Glaze and top: Stir powdered sugar with milk until smooth and pourable. Drizzle over warm danishes. Add berries, a spoon of jam, or sliced almonds if you like.