Prepare and chill Quick-Method Croissant Dough as directed.
For filling, in a medium mixing bowl beat cream cheese, sugar, flour, sour cream, egg yolk, butter, lemon peel, and vanilla with an electric mixer on medium speed for 3 minutes or until well mixed. Set aside.
To shape pastries, on a lightly floured surface roll the chilled dough into a 20x12-inch rectangle. Cut rectangle into twenty 12x1-inch strips. Twist ends of each strip in opposite directions 3 or 4 times. Place 1 twisted strip on an ungreased baking sheet; form it into a wide U-shape. Then coil 1 end of the strip to the center to form a snail shape. Coil the opposite end of the U-shape strip to the center so the 2 coils nearly touch. Repeat with remaining strips, placing them 4 inches apart on baking sheets. Spoon 1 teaspoon of the filling onto the center of each coil (2 teaspoons per roll). Cover and let rise until nearly double (30 to 45 minutes).
In a small mixing bowl beat egg and water using a fork. Lightly brush dough portions of pastries with egg mixture. Bake in a 375 degree F oven for 18 to 20 minutes or until golden. Remove from baking sheets. Cool slightly on wire racks. Makes 20 Danish.