Preheat oven to 400ºF. Line a baking sheet with parchment paper.
Cut each puff pastry sheet into 2 rectangles.
Prepare the egg wash whisk the egg and water together, set aside.
In a bowl, combine sausage, salt, pepper, cream cheese, jalapeños, and onions, and mix well. Divide the sausage mixture into 4 portions.
Roll the sausage mixture into a long tube. Place down the middle of each piece of puff pastry. Brush the edges of the pastry with the egg wash.
Bring pastry dough up and over the sausage roll. Pinch the edges together to seal the seam.
With a sharp knife cut each log into 4 or 8 pieces.
Place seam side down on parchment lined cookie sheet.
Brush the tops and sides of the rolls with the remaining egg wash.
Bake for 20 to 25 minutes until golden brown.
Serve with your favorite dipping sauce ketchup, mustard, bbq sauce or marinara sauce and enjoy!