In a mixing bowl, combine the mascarpone cheese, powdered sugar, and vanilla extract. Mix until smooth and creamy.

Set aside the filling while you prepare the puff pastry.

Preheat the oven to 400°F (200°C).

On a lightly floured surface, roll out the puff pastry sheet to smooth any creases.

Cut the pastry into squares, approximately 4x4 inches.

Place a tablespoon of the mascarpone filling in the center of each pastry square.

Fold the pastry over to create a triangle and press the edges to seal. Use a fork to crimp the edges for a decorative touch.

Brush the tops of the pastries with the egg wash mixture.

Line a baking sheet with parchment paper and place the pastries on it.

Bake in the preheated oven for 20-25 minutes or until golden brown.

Remove from the oven and let cool slightly before serving.