In a sauce pan over medium-high heat, add all the ingredients and stir together. Bring to a boil, stirring occasionally.
Once boiling, reduce heat to medium. Simmer uncovered until cranberries have split open and reached your desired consistency, about 10 minutes. Remove from heat and allow to cool completely.
Spread out the puff pastry sheet and cut it into 4 squares.
Beat together the egg and water in a bowl.
Scoop some of the cranberry mixture onto each puff pastry square. Brush the egg wash around the edge of each square. Fold it over and press the edges to seal. Press the edges with a fork.
Brush the tops of each turnover with the egg wash and use a sharp knife to cut three slits in the top.
Turn the air fryer on to 350° F and preheat for 3 minutes. Place as many turnovers as you can fit without overlapping. Cook for 12-15 minutes in the preheated air fryer, just until the tops are lightly browned. Transfer to a wire rack to cool slightly.
For the optional glaze, mix together the powdered sugar, cream and vanilla until smooth. Add additional cream to reach your desired consistency. Pour over the turnover before eating.
Notes
Make sure the pastry is cold when you start out.
Preheat the air fryer for 3-5 minutes so it's hot when you start cooking.
You can double or triple the recipe depending on how many you want to make.
All air fryers have different wattage and may cook at different rates. You may need to adjust the time or temp for the best results.