Preheat the oven to 350 degrees and line a sheet pan with parchment paper.

In a small bowl, mix together the walnuts, brown sugar, vanilla extract, salt and cinnamon. Set aside.

On a lightly floured surface, roll out one sheet of puff pastry until it’s a 12 by 12 square.

Use a ruler to section the dough in 8 equal sections that are three inches across and 6 inches down. Mark the dough gently to signify the sections, but do not cut the dough.

Place about 1 tbsp of the walnut mixture in the middle of each section.

Roll out the second piece of dough to a 12 x 12 square and gently place it on top of the filling-topped dough.

Cut between the filling to create 8 equal sections, each with the walnut filling in the middle.

Use a fork to press the top and bottom dough edges together. Whisk the egg and use a pastry brush to brush it onto the dough.

Transfer to the parchment lined baking sheet and bake for 20 minutes until golden brown and puffy.