For egg wash: in a small-sized bowl, whisk together the egg and water. Set aside.
Arrange the puff pastry sheets over parchment paper.
Cut each pastry sheet into 6 equal-sized rectangles.
Place about 1tablespoon of strawberry jam in the center of 1 pastry rectangle, leaving½-inch of the border along all sides.
With wet fingertips, moisten the edges of pastry sheet.
Arrange another pastry rectangle on top and with your fingers, press down the edges to seal the jam.
Repeat with remaining pastry rectangles and jam.
Line the Air Fryer Basket with parchment paper and then slide inside.
Adjust the temperature of Air Fryer to 350 °F to preheat for 5 minutes.
After preheating, arrange the pastries into the prepared Air Fryer Basket in a single layer.
Slide the basket into Air Fryer and set the time for 7 minutes.
While cooking, flip the pastries once after 5minutes.
After cooking time is finished, remove the pastries from Air Fryer and set aside to cool before icing.
For icing: in a bowl, add powdered sugar, heavy cream and vanilla extract and beat until smooth.
Drizzle each cooled pastry with icing and serve.