Heat oven to 425°F.
Separate dough into 4 rectangles; firmly press perforations to seal. Spread 1 tablespoon mayonnaise on one half of each dough rectangle. Top each with 1/4 cup shrimp, 1/4 cup cheese and 1 tablespoon parsley; sprinkle with salt and pepper. Squeeze small amount of lemon juice over top of filling on each. Fold other half of dough rectangles over filling. With fork, seal edges. Gently transfer hand pies to ungreased cookie sheet.
In small bowl, beat egg with water until frothy. Brush tops of hand pies with thin layer of egg wash.
Bake 10 to 12 minutes or just until medium golden brown. Cool slightly before serving, 3 to 5 minutes.