Thaw the puff pastry sheets according to package instructions.
Preheat oven to 400F degrees. Line a large baking sheet with parchment paper.
Make the cream cheese filling: Combine the cream cheese, powdered sugar, egg yolk, vanilla and lemon juice in a medium bowl. Stir until creamy and smooth.
Using a rolling pin, roll out the first puff pastry sheet slightly. Slice the puff pastry sheet into 8 vertical strips. Seal two strips together at the ends. Starting in the center, gently twist the puff pastry strip in opposite directions. Leave about 2 inches on one end flat.
Press the flat end down a little. This will be where you put the cheese filling. Then, slowly twirl the pastry twist in a circular motion around the flattened piece. Tuck the opposite end under. Gently transfer the pastry onto the prepared baking sheet.
Repeat with remaining pastry strips and second sheet of puff pastry.
Place 1 Tbsp. of cream cheese filling in the center of each pastry. Apply the beaten egg to the pastry using a pastry brush. Sprinkle with raw sugar.
Bake for 20-22 minutes, until golden brown. Cool on the baking sheet before transferring to a cooling rack.
Combine the glaze ingredients in a small bowl and whisk until smooth. Drizzle over cooled danish.