Pre-heat oven to 400º F. Whisk egg and water in a small bowl to create an egg wash.
Open cookies and scrape the inside filling into one bowl and place the wafers in another bowl. Continue for all 10 cookies. Set bowl with fillings aside.
In the bowl of a food processor, pulse the cookies only until they're crumbly. Add melted butter and pulse until combined and crumbs are moistened.
On a clean and lightly floured surface, unfold the pastry sheet and lightly roll out about an additional inch on each side. Brush the pastry with the egg wash. Top with cookie crumbles and spread to evenly coat, leaving about an inch on the top and bottom clear. Gently press the crumbs into the pastry.
Starting on the side closest to you, roll up the pastry all the way to the end.
Slice into about 10 1-inch slices and place on a parchment-lined baking sheet. Brush the tops with additional egg wash.
Bake for 15 minutes until golden brown.
While those are baking, melt the cookie filling.
Using a double boiler, allow the fillings to melt, stirring occasionally. Alternatively, you can pop the bowl in your microwave in 10-second increments, stirring between each round, until completely melted.
Use the melted filling to drizzle over the top of the finished swirls. I would highly recommend serving warm, but they are just as delicious at room temp.