Remove the puff pastry sheets from the freezer or refrigerator and allow it to warm to room temperature. Unroll the dough, leaving it on the parchment paper it came wrapped in or roll it out on a lightly floured surface.
Cut each package of danish pastry dough into 6 or 8 rectangles and place on a parchment paper lined baking sheet. Use a pairing knife to score a smaller rectangle inside each dough rectangle, being careful to not cut all the way through the dough.
Add 1-2 tablespoons of cheesecake filling to the center of each pastry rectangle, followed by 1-2 tablespoons of cranberry sauce or jam.
Whisk the egg and water together and use a pastry brush to brush the egg wash around the edge of each rectangle on the exposed pastry dough.
Bake the pastries at 400 degrees for 14-16 minutes, then remove from the oven and allow to cool for 5-10 minutes.
For the Orange Glaze: Whisk together the powdered sugar, orange juice, and vanilla extract until smooth or combine with an electric mixer. Carefully stir in the orange zest then drizzle the glaze over each flaky pastry.