Preheat oven to 400 degrees F. Line 2 large baking sheets with parchment paper or foil. Grease foil, if using. Set baking sheets aside. In a bowl, combine egg, water, and sesame oil. Unfold 1 pastry sheet. Brush with some of the egg mixture. In another bowl, combine paprika and salt. Sprinkle half of the paprika mixture over the pastry. Fold pastry in half to form a rectangle, lining up edges and pressing to seal. Brush top of pastry with more of the egg mixture. Sprinkle top with half of the sesame seeds.
With a sharp knife cut pastry lengthwise into 1/2-inch strips. Twist each strip 5 or 6 times and place 1 inch apart on one of the prepared baking sheets, pressing ends down.
Bake about 15 minutes or until golden. Repeat with remaining pastry sheet, egg mixture, paprika mixture, and sesame seeds.