Preheat oven to 400. Mix Nutella and powdered sugar. Roll into an 8" long roll. Wrap in plastic wrap with ends closed and refrigerate for 30 min.
When roll is firm, cut into 8 pieces. Roll each piece in powdered sugar.
Cut each puff pastry sheet into 4 squares (8 squares total). Place a roll on each square and roll up. Pinch ends and brush with egg. Bake for 15 min. or until pastry is golden. Dust with powdered sugar.