In a large mixing bowl, mix tougher the cream cheese, granulated sugar, flour, and vanilla extract, mix well, until smooth, then crack in one egg yolk.
Place the flour on a cutting board, or flat surface. Then roll out the puff pastry dough. Using a sharp knife, or pizza cutter, cut the sheet of puff pastry into 9 equal-sized square pieces. In a small bowl, add the water and egg yolk, and use a fork to whisk.
Add 1 tablespoon of cream cheese and 1-2 teaspoons of jam in the center of each puff pastry square. Then bring the two edges together, use a pastry brush, and brush the egg yolk mixture on the dough, which will help seal the dough together.
Preheat the air fryer to 325 degrees F, for 4-6 minutes. Then, add the prepared puff pastry danishes to the air fryer basket, in a single layer. Set the cooking time for 8-10 minutes at 320 degrees F, remove when golden brown.
Serving with a cup of hot chocolate or hot coffee!