Preheat oven to 350 degrees. Slightly roll out pastry squares and place onto lined baking sheets. Brush with beaten egg and sprinkle with coarse sugar. Bake for 12–15 minutes, until puffed and golden.

While the pastry squares are baking, prepare cranberry sauce: Heat water and sugar in a small pot until it begins to boil. Add cranberries and chopped orange and simmer for about 10 minutes, or until berries begin to pop open. Stir in cinnamon and remove from heat; set aside.

Remove pastry squares from the oven and press down the middle of each square with the back of a spoon. Place one tablespoon of custard into each indentation and spoon warm cranberry sauce on top.