Preheat air fryer to 325°. Beat cream cheese, sugar, flour and vanilla until smooth; beat in 1 egg yolk.
Mix water and remaining egg yolk. On a lightly floured surface, unfold each sheet of puff pastry; roll into a 12-in. square. Cut each into nine 4-in. squares.
Top each square with 1 tablespoon cream cheese mixture and 1 rounded teaspoon jam. Bring two opposite corners of pastry over filling, sealing with yolk mixture. Brush tops with remaining yolk mixture.
In batches, place in a single layer in greased air-fryer basket. Cook until golden brown, 8-10 minutes. Serve warm. Refrigerate leftovers.
