- Preheat the oven to 400°F (204C). Line baking sheet with parchment paper. 
- In a small bowl, whisk egg with a few drops of water to combine. Set aside. 
- Roll out puff pastry on a lightly floured surface just until it is slightly flattened. Use a knife or pizza cutter to cut sheet into even rectangles (about 3 inches by 5 inches each). 
- Transfer the rectangles to the prepared baking sheets. Spread the jam into the center of each rectangle. 
- Brush the egg wash around the edges of each pastry. Top each pastry with the remaining rectangles and then use a fork to crimp the dough all around the edges to seal. 
- Cut a small vent into the center of each pastry and then brush the egg wash all over. Bake until the pastries are golden brown, 18 to 22 minutes. Let cool completely. 
-  In a small bowl, whisk the sugar with the heavy cream and vanilla extract to combine. Whisk until smooth; add more cream a little at a time, as needed, so the icing is at a drizzling consistency. 
- Drizzle the icing over the cooled pastries. 
- Serve the toaster pastries with milk.