Thaw pastry sheet at room temperature for 30 minutes. Preheat oven to 375 degrees F. Mix egg and water and set aside. Combine sugar, flour, cinnamon, apples, cranberries, and lemon juice and rind, and mix well. Set aside.
Unfold pastry on a lightly floured surface and roll into a 16x12-inch rectangle. With short side facing you, spoon apple mixture onto bottom half of pastry to within 1 inch of edges. Starting at short side, roll up like a jelly roll. Place seam side down onto baking sheet. Tuck ends under to seal. Brush with egg mixture. Cut several 2-inch-long slits 2 inches apart on top.
Bake 35 minutes or until golden. Cool on baking sheet on wire rack for about 30 minutes. Slice and serve warm. Sprinkle with confectioners’ sugar, if desired.