Line a sheet pan with parchment and spray lightly with cooking oil spray.Preheat the oven to 400 degrees F. Line a sheet pan with parchment paper.
Cream the cream cheese and sugar together with electric mixer until smooth. Gently add egg yolks, ricotta cheese, vanilla, salt, and lemon zest. Mix until just combined, taking care not to over mix.
Carefully lay sheets of puff pastry onto a lightly floured surface and roll slightly until each is approx 10 by 10". Cut the sheets into quarters. Place a generous tablespoon of cheese filling into the middle of each of the 8 quarters. Brush a 1/2" border of each square with egg wash. Fold the four corners of a square into the center (like a purse) and pinch in the center, then pinch the seams to seal. Brush the top of the pastries with egg wash. Place pastries on the prepared sheet pan. Place in fridge for 15 minutes
Bake the pastries for 20 minutes or until puffed and golden. Serve warm.