Heat the oven to 400 degrees F. Beat the egg and water in a small bowl with a fork.
Stir the peanut butter, heavy cream and confectioners' sugar in a small bowl until the mixture is smooth.
Unfold 1 pastry sheet on a lightly floured surface. Using a round cutter, cut the pastry sheet into 9 (3-inch) circles. Repeat with the remaining pastry sheet.
Place 9 pastry circles onto a baking sheet. Spoon about1 teaspoon peanut butter mixture in the center of each pastry circle. Top each with about 1/2 teaspoon jam. Brush the edges of the pastry circles with the egg mixture. Place the remaining pastry circles over the filling. Press the edges firmly to seal. Using a sharp knife, cut a small slit in the top of each filled pastry.
Bake for 15 minutes or until the pastries are golden brown. Let the pastries cool on the baking sheet for 10 minutes. Sprinkle with additional confectioners' sugar.