Thaw pastry sheet at room temperature 30 minutes. Meanwhile, in small bowl, beat egg and water until well blended; set aside. In another small bowl, mix cheese and chili powder.
Heat oven to 400°F. Spray large cookie sheet with cooking spray.
On lightly floured surface, roll thawed pastry sheet with rolling pin into 14x10-inch rectangle; cut in half lengthwise. Brush egg mixture over both rectangles; reserve remaining egg mixture. Spread cheese mixture evenly over 1 rectangle; top with second rectangle, egg side down. Gently roll pastry to seal.
Cut pastry crosswise into 28 (1/2-inch) strips. Twist strips; place 2 inches apart on cookie sheet, pressing ends down. Brush with remaining egg mixture.
Bake 10 to 12 minutes or until golden brown. Serve warm or at room temperature.