Preheat your oven to 400 degrees F. Line two baking sheets with parchment paper.
In a medium bowl, beat the softened cream cheese until smooth. Add the granulated sugar, egg yolk, vanilla extract, and lemon zest. Mix until the cream cheese filling is creamy and well combined.
Unfold one thawed puff pastry sheet onto a lightly floured surface. Cut the pastry sheet into 9 equal squares.
Place about 1 to 1.5 tablespoons of the cream cheese filling into the center of each pastry square.
Fold the corners of the pastry square toward the center, overlapping them slightly to create a rustic, open-faced square shape, leaving some of the filling exposed. Do not seal the edges completely.
Transfer the assembled danishes to the prepared baking sheets. Brush the exposed pastry edges lightly with the beaten egg wash.
Bake for 15 to 18 minutes, or until the pastry is golden brown and puffed.
While the danishes cool slightly, prepare the glaze by whisking together the powdered sugar and milk until smooth.
Drizzle the glaze over the warm cheese danishes. Let them cool completely before serving.
Notes
For a sweeter pastry, use store-bought puff pastry and consider adding a small amount of almond extract to the cream cheese filling.
If you want a thicker, flakier pastry, chill the assembled, unbaked danishes for 15 minutes before applying the egg wash and baking.
This recipe makes a copycat grocery store cheese danish texture when using quality puff pastry.