Thaw puff pastry in the box at room temperature for 40 minutes. Preheat the oven. Line a baking sheet with parchment paper. Unfold the sheets of puff pastry and cut each sheet into 4 strips. Cut each strip into 3 squares, then each square into two right angle triangles, making a total of 48 triangles. Place triangles on the parchment-lined baking sheet.
In a custard cup, beat one egg with a fork. Use a pastry brush to egg wash each puff pastry triangle (on one side only). Place puff pastry in oven and bake for 15 minutes, until golden brown.
Very finely chop the rosemary and thyme. Set aside.
Microwave the cream cheese in a dish for 30 seconds to soften. In a large bowl, combine the cream cheese, ricotta, and goat cheese using an electric hand mixer. Mix on low speed for 30 seconds or until combined.
Remove the seeds from the jalapeno and finely dice. Add the jalapeno, rosemary, thyme, salt, and black pepper to the cheese mixture. Mix with the electric hand mixer until all ingredients are evenly dispersed. Set aside.
In a custard cup, combine the cornstarch and water to make a slurry. Use a spoon to stir. Set aside.
Add cranberries to a 2-quart saucepan and cook over medium heat. After 3-5 minutes, add the sugar to the saucepan. Stir on medium low heat for 3 minutes. Add in 2 tablespoons of the cornstarch slurry and stir to combine. Continue to stir and cook over medium-low heat until all cranberries have broken down.
Wash the orange and zest with a microplane or box grater. Add zest to the cranberries and stir on low heat for 1 minute. Remove saucepan from the heat. Set aside.
Once puff pastry triangles are cooled, cut in half to form a top slice and a bottom slice.
Spread herbed cheese mixture on the bottom slice and spread thin layer of the cranberry mixture on the top slice. Put top and bottom together to form a sandwich. Repeat until all puff pastry triangles are filled. Plate and serve.