Preheat the oven to 400 degrees . Line a baking sheet with parchment paper. Place a 1-foot-long sheet of parchment paper on a work surface and set a puff pastry sheet on top. Roll out the pastry to a 9 1/2-inch square; cut into 4 squares.
Lay 1 piece each of the cream cheese and guava paste diagonally in the center of each pastry square. Brush the pastry edges with some of the beaten egg; fold to enclose, forming a triangle. Pinch the edges to seal, then crimp with a fork. Repeat with the remaining pastry, cream cheese and guava paste.
Arrange the turnovers on the prepared baking sheet; brush with the egg. Bake until puffy and golden, 15 to 20 minutes. Transfer to a rack to cool for 15 minutes. 4. Meanwhile, stir together the confectioners sugar, milk and vanilla until smooth. Drizzle the glaze over the cooled turnovers.
