In a mixing bowl, mix cream cheese and butter together.
Mix in powdered sugar and vanilla.
Mix in flour. Beat until all flour is incorporated into dough.
Divide dough in half. Wrap each half in plastic wrap, flattening into a 4 inch disc.
Refrigerate for at least one hour or overnight.
When ready to bake, work with one disc of dough at a time.
Place on a lightly floured surface and roll into a rectangular shape until dough is approx. ⅛" thick.
Trim edges and cut into 2 inch squares.
Place ½ teaspoon of jam on each square.
Mix egg white together with water.
Fold two corners together over your index finger. Place a dab of egg white mixture between overlapping corners of cookies. Press firmly together so the dough is fused.
Place on a baking sheet lined with parchment paper. Press folded sides down slightly so they are not rounded. This will help prevent cookies from coming apart while baking.
Bake for 10 minutes in a preheated 400 degree oven.
Cool on a baking rack. Sprinkle with powdered sugar when completely cooled.