Step 1: Preheat your oven to 400°F (200°C) and line a large baking sheet with parchment paper for your rhubarb cream cheese puff pastries.
Step 2: In a medium bowl, toss the sliced rhubarb with granulated sugar and orange zest; let it sit for 10 minutes.
Step 3: In another bowl, beat the softened cream cheese, powdered sugar, and vanilla extract until smooth and creamy.
Step 4: Roll out the puff pastry sheet on a lightly floured surface and cut into 8 equal rectangles.
Step 5: Place the rectangles on the baking sheet and spread about 1.5 tablespoons of the cream cheese mixture onto the center of each, leaving a 1/2-inch border to ensure the rhubarb cream cheese puff pastries rise well.
Step 6: Top the cream cheese with the rhubarb pieces, pressing them slightly into the filling.
Step 7: Whisk the egg and water together, then brush the edges of the pastry with the egg wash.
Step 8: Bake for 20-25 minutes or until the pastry is puffed and golden brown.