Allow puff pastry to come to room temperature for the time stated on the box. Mine says 40 minutes minimum.
Preheat oven to 400 Degree F. Line a baking sheet with parchment paper. Unwrap puff pastry and place on a lightly floured surface.
Careful unfold pastry. Cut along the folds of the pastry. Cut each third in half, forming rectangles.
Place rectangles on backing sheet, allowing at least 1 inch between them. Lightly brush each rectangle with beaten egg. Sprinkle with coarse sugar.
Place in preheated oven and cook until pastries are puffed up and lightly browned. About 5 to 7 minutes.
Remove from oven and allow to cool completely. While pasties are cooling, make filling.
Cream together butter and shortening until light and fluffy, this may take up to 5 minutes.
Add powdered sugar, 1 cup at a time, mixing well after each addition. Add vanilla and mix well.
Add marshmallow fluff and beat until incorporated and light and fluffy, about 2 minutes. Slice cooled pastries in half using a serrated knife.
Spread or pipe filling onto the bottom half of the cut pastry and replace top. These can be stored at room temperature.