Mix together the cream cheese and sugar together until combined and creamy. Add the egg yolks, ricotta cheese, vanilla extract, coarse salt, and lemon zest and mix until combined.

On a lightly floured surface, roll one puff pastry sheet out to be about 10 inches square. Cut the pastry into quarters and spoon a heaping tablespoon of the cream cheese mixture into the center of each piece of pastry. Working with each pastry square, fold two opposite corners of the pastry together, overlapping and pressing them together to seal well. Brush each pastry with the egg wash. Repeat with the remaining sheet of puff pastry.

Place the pastries on the prepared sheet pan, at least 1 inch apart. Bake until puffed and golden brown, about 20 minutes. Cool slightly.

To make the icing, combine the powdered sugar, vanilla extract, salt, and milk and whisk until smooth. Drizzle over the pastries.

The danishes can be stored in an airtight container in the fridge for a few days.