Preheat the oven to 400F and line a large baking sheet with parchment paper.

In a large bowl, add the softened cream cheese, lemon juice and zest, sugar, sour cream and vanilla extract. Mix until well combined.

Next, unwrap the thawed pastry dough. Then, roll the dough on a floured surface horizontally and vertically to smooth out the seams. Note, you don't want to completely remove them, as they will be helpful when cutting your pastries.

Next, cut the dough into 6 rectangles. I used the seams to help me get even segments. Cut the pastry in half lengthwise. Then, cut pastry into 3 segments width-wise, making 6 rectangles Danishes.

Transfer the Danishes to the prepared baking sheets. Using a sharp knife, gently score the Danish by making a shallow cut about 1/4 inches from the perimeter of the pastry perimeter. Be careful not to cut all the way through. You should have created a rectangle that is slightly smaller than your Danish. This step will allow your edges to rise and hold in all that delicious cream cheese filling.

In a small bowl, make your egg wash, by mixing the egg and water. Using a pastry brush, brush the border you created with egg wash and sprinkle with coarse sugar.

Next, carefully and evenly add about 2-3 tablespoons of the cream cheese filling into the center of the Danishes. Use a spatula or the back of your spoon to level the cream cheese filling.

Next, place the Danishes in the preheated oven on the middle rack and bake for 17-20 minutes or until perfectly golden and the edges are puffed. Once done, remove the Danishes from the oven and let cool on a cooling rack.