Preheat oven to 375 degrees F. Grease or line baking sheets with parchment paper.
Spread out each sheet of puff pastry on a floured work surface. Cut each sheet into 9 squares.
Mix together the Mascarpone cheese and confectioner's sugar. Spread a generous Tablespoon of Mascarpone mixture over 9 squares. Top Mascarpone with 1 generous teaspoon Red Raspberry Jam. With your finger wet the edges of each square with water. Lay another puff pastry square on top. Crimp edges with a fork or by pressing with your finger to seal edges. Prick with fork on top several times.
Whisk the egg and water and brush on each square. Sprinkle with sugar. Place on prepared baking sheet and bake 15 minutes or until golden brown and flaky. Serve warm or at room temperature.