Thaw puff pastry per package directions.
Preheat oven to 400°F. Line a large baking sheet or 2 standard size baking sheets with parchment paper. Set aside.
To Make the Filling: Add cream cheese, sour cream, granulated sugar, lemon zest, vanilla extract (OR lemon) and egg yolk to a medium size bowl. Beat on medium high speed with an electric mixer until smooth and fully combined.
To Prepare the Puff Pastry: On a lightly floured surface, unfold puff pastry sheets, rolling with a rolling pin just until smooth around 12x14 inches in size. Use a sharp knife or pastry wheel to cut each sheet into 12 even strips.
Pinch the ends of 2 strips together to create one long strip then twist.
Wind the twisted strip into a spiral and place circles onto the pan. Repeat with the remaining strips, pressing two strips together, then twist and form into a circle. flatten the center gently to create a bed for the cream cheese.
Use the back of a spoon or a bottom of a glass to gently flatten the centers to create a place for the cream cheese filling
Use a tablespoon to divide the filling between the pastries dolloping into the center. Use a pastry brush to brush the puff pastry with egg wash. Sprinkle evenly with turbinado sugar.
Bake for 16-18 minutes or until golden and puffed. Allow them to cool on the pan for 5 minutes then gently remove to a cooling rack to cool completely while you make the glaze.
To Make the Glaze: In a small bowl whisk together powdered sugar and heavy cream with vanilla. Drizzle over cooled danish.
Store chilled for up to 3 days in an airtight container in the refrigerator.