Preheat the oven to 400 degrees F. Line 2 baking sheets with parchment paper.
Spread 1 sheet thawed puff pastry with the pumpkin pie filling. Top with the second puff pastry sheet and press the edges together to seal. Cut the stacked pastry into 1/2-inch-thick lengths and transfer them to the prepared baking sheets. Make an egg wash by beating the egg yolk with 1 tablespoon water. Twist each piece of pastry and brush with egg wash. Bake until golden brown and fragrant, about 20 minutes. Sprinkle with cinnamon sugar, if using, and serve with pumpkin or apple butter for dipping.