Preheat oven to 400 degrees F. Line a large baking sheet with parchment paper or a silicone baking mat.
On a lightly floured surface, roll out two sheets puff pastry into two smooth rectangle (about 12" x 8" each).
In a medium mixing bowl, beat butter, sugars and cinnamon with an electric mixer until well blended. Spoon mixture between the two sheets of puff pastry and spread evenly to edges.
Fold puff pastry sheets in half. Slice lengthwise into strips. You should get 5-7 strips per sheet. Twist each strip and roll up from the bottom into a small spiral bun. Place on prepared baking sheet, Repeat with remaining strips.
Whisk together egg and water in a small bowl. Brush twisted buns with egg wash. Sprinkle with coarse sugar (optional).
Bake for 20 to 25 minutes, until golden brown and puffed. Transfer buns to a rack to cool. Serve warm or at room temperature.