Preheat oven to 425F (or according to the instruction of the puff pastry you are using), and line 2 baking sheets with parchment paper)
In a large bowl, place the cream cheese, sugar, heavy cream, egg, vanilla, and orange zest.
Use a hand mixer to bring it all together into a thick paste.
Cut the puff pastry into 4"x4" squares , place 1 tsp of the cream cheese filling in the center, and top with a tsp of cranberry sauce.
Seal the puff pastry and brush with the beaten egg.
Bake for 12 minutes or until puff and lightly golden. Remove from oven and let cool for about 5-10 minutes before serving.