Begin by cooking the rhubarb filling. Add the sliced rhubarb to a small pot along with the granulated sugar and water. Bring to a boil, then reduce the heat to medium. Let the rhubarb simmer until soft and it begins to fall apart and becomes thick, about 10 minutes. Once softened, place the rhubarb filling into a separate bowl and place in the fridge to let cool completely.
Next, make the cream cheese filling. Add the cream cheese, ½ cup powdered sugar, and lemon zest and mix together until combined. It is best to use room temperature cream cheese for this so that you can mix it into a smooth filling. Once fully combined, add the egg white to the cream cheese mixture, reserving the egg yolk in a separate small bowl for the egg wash. Mix the cream cheese mixture until the egg white is incorporated and set aside.
For the egg wash, add the remaining 2 tablespoons of water to the egg yolk and mix to combine. Set aside until your danishes have been assembled.
To assemble the danishes, use a rolling pin to roll out one sheet of puff pastry on a lightly floured surface into a large square that is approximately 25x25 cm. Use a sharp knife to cut the puff pastry into four even squares. Place the squares onto a parchment-lined baking sheet and repeat for the other sheet of puff pastry. You should have 8 squares at the end.
Place a heaping tablespoon of the cream cheese filling in the center of one puff pastry square and top with another heaping tablespoon of the cooled rhubarb filling.
Fold the corners of the puff pastry square into the middle of the pastry to close up the danish. Repeat the process for the rest of the danishes. Ensure that the danishes are spaced at least 5cm apart on the baking sheet to allow room for expansion in the oven. If they are too close, use multiple baking sheets to space them out appropriately, or bake in batches.
Place the baking sheet(s) with the danishes in the freezer for 5 minutes to allow the puff pastry to cool down and firm up again. Don’t skip this step as this will make your puff pastry lighter and fluffier once it bakes.
Preheat the oven to 400 degrees F.
Remove the danishes from the freezer and quickly brush the top of each danish with the egg wash. Place in the oven and bake for 18-20 minutes, rotating the trays halfway through baking to ensure that they brown evenly. Once cooked, the danishes should be puffed up and golden brown on top and on the bottom. Let the danishes cool completely before adding the icing.
For the icing, combine the remaining ½ cup powdered sugar and milk and whisk to combine. The mixture should be thick and form an even ribbon of icing when drizzled. If it is too runny, add additional powdered sugar until the desired consistency is achieved.
Drizzle the icing over the cooled danishes and serve! Enjoy!