In a medium bowl, beat the cream cheese, granulated sugar, 1 tablespoon flour, and vanilla until completely smooth. Beat in 1 egg yolk. Set aside.
In a small bowl, whisk the remaining egg yolk with the cold water to make an egg wash.
Lightly dust a work surface with the remaining tablespoon of flour. Unfold the thawed puff pastry and roll into a 12-inch square about 1/8 inch thick. Cut into nine equal 4-inch squares with a sharp knife or pizza cutter.
Spoon about 1 tablespoon of cream cheese filling into the center of each square, then top with about 1 1/2 teaspoons of jam, leaving a 1/2-inch border of bare pastry.
Bring two opposite corners up over the filling and press together, sealing with a dab of egg wash. Brush the tops with the remaining egg wash.
Preheat the air fryer to 325°F for 3 to 5 minutes. Lightly spray the basket or line it with perforated parchment paper.
Place the Danish in a single layer with space between each one. Air fry at 325°F for 8 to 10 minutes, until puffed and deep golden brown. Cook in batches as needed.
Transfer to a wire rack and cool at least 5 minutes. If glazing, whisk the powdered sugar, milk, and vanilla until smooth and drizzle over the warm pastries.