Preheat oven to 375 degrees. Spray a muffin tin with cooking spray.
Place juice from cherries and cornstarch in small saucepan. Cook and stir over medium heat until thickened. Gently stir in cherries. Remove from heat and cool completely.
Using a small mixing bowl, beat cream cheese until smooth and creamy. Add sugar, lemon juice, milk and vanilla into cream cheese and beat until combined
Roll out the puff pastry onto a lightly floured, clean surface. Roll out the dough about an extra ½ inch. Use a pizza cutter and cut the dough into 12 squares. Place the dough squares into each muffin tin.
Add about a heaping teaspoon of the cream cheese mixture to each square. Add one tablespoon of cherries and sauce on top. Add about a heaping teaspoon of the cream cheese mixture to each muffin tin on top of the cherries. If you have more go back through and continue adding until gone. Use the remaining cherries and sauce and place on top of the cream cheese.
Fold corners of puff pastry over the cherry filling. Whisk the egg and water and brush the puff pastry with egg wash and sprinkle with coarse white sugar.
Bake in preheated oven for about 20-22 minutes. The puff pastry should be gold brown once finished.