In the bowl of a stand mixer fitted with the paddle attachment, cream together the butter, cream cheese, sugars and salt. Mix in the vanilla, then the flour. Wrap dough in plastic wrap and chill 1 hour.
Preheat oven to 350 degrees. Line 2 baking sheets with parchment paper. On a floured surface, roll dough into 6 strips that measure 12"x 4". Divide jam evenly between the strips and spread it in a line down the center of the dough strip.
Roll from the long end into a log. Cut into equal portions about 1" in length. Place cookies onto the prepared baking sheets.
Beat the egg with 1 Tbsp. of water in a small bowl. Using a pastry brush, lightly brush the top of the dough with egg wash. Sprinkle with turbinado sugar. Bake 15-17 minutes. Cool on the baking sheet.