Preheat oven to 425 degrees F. Beat the egg with the water and set aside.
Cut the kielbasa into 8 (3-inch) long pieces and set aside.
On a lightly floured surface roll the pastry sheets into 12 by 12-inch squares. Cut the sheets into 8 equal squares. Brush 1 square with water around the edges and wrap a sausage up in the pastry. (First fold the 2 long sides over the sausage, then fold the ends up and over. Press edges firmly to seal.) Place seam side down on a parchment-lined sheet pan.
Brush the tops and sides of the packages with egg wash and bake until browned and shinny, about 25 minutes. Transfer to a rack and cool for 20 minutes, before serving. They can be served warm or at room temperature with assorted mustards.
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