Heat oven to 425º. Cover 2 cookie sheets with cooking parchment paper or heavy brown paper. Mix cheese and paprika. Roll 1 sheet of pastry into rectangle, 12x10 inches, on lightly floured surface with floured cloth-covered rolling pin.
Brush egg over pastry. Sprinkle with 3 tablespoons of the cheese mixture; press gently into pastry. Turn pastry over. Brush egg over other side of pastry. Sprinkle with 3 tablespoons of the cheese mixture; press gently into pastry. Fold pastry lengthwise in half.
Cut pastry crosswise into 1/2-inch strips. Unfold strips; roll each end in opposite directions to twist. Place twists on cookie sheet. Bake 7 to 8 minutes or until puffed and golden brown. Remove from cookie sheet to wire rack. Repeat with remaining sheet of pastry, egg and cheese mixture. Serve twists warm or cool.