Preheat oven to 425 degrees F. Beat the egg with the water and set aside. Cut the kielbasa into 8 (3-inch) long pieces and set aside.
On a lightly floured surface roll the pastry sheets into 12-inch by 12-inch squares. Cut the sheets into 8 equal squares. Brush 1 square with water around the edges and wrap a sausage up in the pastry. (First fold the 2 long sides over the sausage, then fold the ends up and over. Press edges firmly to seal.) Place seam side down on a parchment-lined sheet pan.
Brush the tops and sides of the packages with egg wash and bake until browned and shiny, about 25 minutes. Transfer to a rack and cool for 20 minutes, before serving.
They can be served warm or at room temperature with assorted mustards.