Heat oven to 375°F. Grease cookie sheet with shortening, or spray with cooking spray. In small bowl, beat egg and milk with fork until well blended; set aside.
If using crescent rolls: Unroll dough; separate crosswise into 2 (6x8-inch) rectangles, firmly pressing perforations to seal. If using dough sheet: Unroll dough; cut crosswise into 2 (6x8-inch) rectangles. With knife or pizza cutter, cut each rectangle into 8 (3x2-inch) rectangles.
Fold each slice of turkey in half; place on dough rectangles. Place 1 cheese cube in center of each; fold turkey around cheese cube. Wrap dough up around turkey and cheese, shaping into a ball; pinch tightly to seal. Brush top and sides of each ball with egg mixture; place on cookie sheet.
Bake 10 to 14 minutes or until golden brown. Sprinkle with powdered sugar. Cool 2 minutes; remove from cookie sheet. Serve warm with maple syrup or Dijon mustard for dipping.