Thaw the pastry sheet at room temperature for 40 minutes or until it's easy to handle. Heat the oven to 400 degrees F.
Wrap each cone tightly in aluminum foil, covering completely and tucking any excess foil into the cone cavity. Spray the foil cones with the cooking spray.
Unfold the pastry sheet on a lightly floured surface. Cut the pastry sheet along the fold marks to form 3 rectangles. Cut each rectangle lengthwise into 4 strips, making 12 strips in all.
Press the ends of 2 pastry strips together. Starting at the pointed end, wind the pastry strip around 1 cone, slightly overlapping edges of pastry (strip will not reach the bottom of the cone). Spray the pastry cone with the cooking spray and sprinkle with 1 teaspoon sugar. Place the pastry cone seam-side down onto a baking sheet. Repeat with the remaining pastry strips, cones and sugar.
Bake for 15 minutes or until the pastries are golden brown. Remove the pastries from the oven. Let cool completely on the baking sheet. Carefully remove the cones from the baked pastry.
Beat the milk, pudding mix, pumpkin and cinnamon in a medium bowl with a whisk until the mixture is thickened.
Beat the cream in a medium bowl with an electric mixer on high speed until soft peaks form. Fold the whipped cream into the pumpkin mixture. Spoon or pipe the mixture into the pastry cones.
Stir the caramel sauce and pecans in a small bowl. Place the pastries onto serving plates and drizzle with the caramel mixture.