Combine sugar, pecans, and cinnamon in a mini-chopper and process until sandy. Line 2 baking sheets with parchment paper. Unfold pastry and brush with egg. Spread sugar mixture over pastry. Cut in half, then cut into 8 (1/2-inch-wide) strips. Twist strips. Lay on pans, pushing ends down with your thumb. Freeze 10 to 15 minutes, until firm.
Preheat oven to 400 degrees F.
Bake until golden, rotating pans halfway, 18 to 20 minutes. Cool on a rack.