Preheat the oven to 400°F. Line a large baking sheet with parchment paper and set aside.
Place one thawed puff pastry sheet on a lightly floured surface or a piece of parchment paper. Gently roll it out just enough to smooth the seams and create an even rectangle.
Add 1 cup of Nutella to a microwave-safe bowl and warm it for about 15 to 20 seconds, just until it is easy to spread. Stir well.
Spread the Nutella evenly over the puff pastry, going almost to the edges. Avoid adding too much filling in one spot or it can ooze out during baking and keep the pastry from puffing properly.
Place the second puff pastry sheet on top of the Nutella layer. Gently press it down so the layers stick together.
Place the layered puff pastry in the freezer for 10 minutes. This helps firm up the pastry and makes it easier to cut and twist.
Remove the pastry from the freezer. Using a pizza cutter or pastry cutter, cut the pastry into 12 even strips.
Twist each strip several times, then carefully roll it into a pinwheel shape. Tuck or gently press the end underneath to help it stay in place.
Place the pastry twists onto the prepared baking sheet, leaving a little space between each one.
In a small bowl, whisk together 1 large egg and 1 tablespoon of water. Brush a thin layer of egg wash over each pastry twist.
Bake for 18 to 20 minutes, or until the pastry is puffed and golden brown.
Remove from the oven and allow the pastries to cool on the baking sheet for about 10 minutes.
Once slightly cooled, dust with powdered sugar. Arrange on a serving tray and enjoy.