Preheat oven to 200°C/400°F/ gas 6. Line a baking sheet with parchment paper.
Lightly dust a flat clean surface with flour and roll out your pasty.
Cut the pastry into 4 strips and roll into sections.
Score the sides of the pastry but don’t cut all the way to the middle.
Combine the cream cheese with the lemon, vanilla and sugar in a small bowl.
Spoon about 2 tablespoons of the cream cheese mixture into the middle of each piece of dough, spread evenly and cover with the scored edges in a braid pattern.
Mix 2 tbsp of the water and egg together to make a white wash. Coat the pastry with the wash.
Place in the oven for 20 minutes.
In the meantime, combine the icing sugar with the rest of the water to make icing.
Remove the pastry from oven and allow to cool.
Drizzle with a little icing before serving.