Mix all pepper jelly ingredients (vinegar, sugar, chopped peppers, salt, black pepper, and cayenne pepper) in a heavy-bottomed saucepan, and bring to a boil over medium heat.
Reduce to low and simmer, stirring occasionally, for about 2 hours or until reduced by a little more than ½, making about 2 cups of pepper jelly.
Allow jelly to cool. It will thicken as it cools. You will want ½ cup of pepper jelly for this pinwheels recipe.
Make the pinwheels:
Preheat oven to 400° F. Line a baking sheet with parchment paper.
In a medium bowl, mix the softened cream cheese and ½ cup of the pepper jelly together.
Beat the egg and the water in a separate small bowl.
Unfold one pastry sheet on a lightly floured surface. Remove the parchment paper from the pastry sheet. Lightly roll out the pastry using a rolling pin so that the pastry is flat and all roughly the same thickness.
Spread half of the cream cheese pepper jelly mixture onto the pastry sheet. Starting at the short side closest to you, roll up the pastry like a jelly roll. Cut the log into 10 slices, about ½ inch thick each. Lay the slices flat on the parchment paper lined baking sheet. Brush rolls with egg mixture.
Repeat with second puff pastry sheet.
Bake 15 minutes or until golden brown. Serve warm or at room temperature.
Leftover pinwheels may be refrigerated and reheated in a 400° F oven for about 5 minutes.