Thaw the pastry sheet at room temperature for 40 minutes or until it's easy to handle. Heat the oven to 350 degrees F. Lightly grease or line 2 baking sheets with parchment paper. Stir the egg and water with a fork in a small bowl.
Mix the sugar, red pepper, paprika and cinnamon in a small bowl. Sprinkle half of the mixture on a work surface. Unfold the pastry sheet and place on the sugar mixture. Sprinkle the remaining sugar mixture over the pastry. Roll the sheet to a 14-inch square. Fold the pastry in half, to make a 14x7-inch rectangle. Using a sharp knife or fluted pastry wheel, cut the dough crosswise into 24 (1/2-inch wide) strips. Twist the strips and place 2 inches apart, on the prepared sheet, pressing down the ends. Brush the twists with the egg mixture. Refrigerate for 30 minutes.
Bake for 20 minutes or until golden. Let cool on a wire rack for 5 minutes. Serve warm.