On a floured surface, roll out pastry to an approximate square. Spread cream cheese on half the pastry, leaving a small margin on the edges, then spread a light coating of jam. Gently arrange prosciutto over the top of the jam. Brush egg on the other half and uncovered edges. Fold pastry over, gently pressing down to remove bubbles and adhere edges.
Rotate pastry so you have the long end facing you, and gently roll out to a large rectangle, approximately 12x18. Some jam might leak out edges - just wipe up and move on.
Brush egg over the entire pastry and sprinkle it with pepper. Cut into strips and twist them before placing on parchment-lined baking sheets. Brush once more with egg.
Bake for about 12 minutes, until golden brown.
Best served warm, but just as tasty at room temperature.