In a standing or electric mixer, whip butter until light and creamy, about 2 minutes. Stir in cheeses. In a separate bowl, mix flour, cayenne, and salt. Add cheese mixture and stir well. Turn dough onto a lightly floured work surface and knead a few times. Divide dough in four. Wrap each piece in plastic, and refrigerate 30 minutes (or overnight).
Heat oven to 375 degrees. Remove one ball of dough from refrigerator and turn onto floured surface. Roll out to ⅛-inch thickness. With a star-shaped cookie cutter, cut dough and arrange stars on a baking sheet. Repeat with remaining dough. (Combine leftover dough and roll out again.)
In a small bowl, whisk together egg white and water. Brush the top of each star with egg wash and sprinkle with nuts. Bake 8 minutes, or until golden brown.