Mix flour, sugar, and salt. Cut in butter until coarse crumbs form.
Add egg and cold water, mix until a dough forms, then knead 2 minutes.
Wrap dough and refrigerate for 30 minutes.
Beat cream cheese, sugar, vanilla, and egg yolk until smooth.
Roll dough to ⅛ inch, cut circles, and fill with 1 tablespoon cream cheese mix.
Fold, seal with fork, brush with egg, sprinkle with cinnamon sugar.
Bake at 375°F (190°C) for 20–25 minutes until golden. Cool 5 minutes.