Preheat oven to 400°F Lightly butter 2 heavy large baking sheets. Roll out 1 puff pastry sheet on lightly floured surface to 16x13-inch rectangle. Trim edges neatly, forming 15x12-inch rectangle. Cut rectangle into twenty 3-inch squares. Using small sharp knife, make 1-inch-long diagonal cut in all 4 corners of 1 square, cutting toward center (do not cut through center). To form pinwheels, fold every other point of puff pastry toward center of square, pressing to adhere. Repeat with remaining puff pastry squares.
Brush pinwheels lightly with egg glaze. Sprinkle each with 1/2 teaspoon sugar. Place scant 1/2 teaspoon jam in center of each. Transfer to prepared baking sheet. Bake until pinwheels are golden and puffed, about 13 minutes. Using metal spatula, transfer cookies to rack and cool. Repeat with remaining puff pastry sheet, glaze, sugar and jam.
Sprinkle cookies with powdered sugar, if desired. (Can be prepared ahead. Place cookies between waxed paper sheets in airtight containers and freeze up to 2 weeks; thaw before packing, or store airtight at room temperature up to 3 days.).