Serves 8 to 10
Preheat oven to 400 degrees.
Line 3 large baking sheets with parchment paper. Thaw pastry sheet at room temperature covered by a clean kitchen cloth, about 30 minutes. While pastry is thawing, combine cheese, olive oil, garlic, oregano, salt, and cayenne in a small mixing bowl. Stir well to combine. In a small mixing bowl, beat egg with a fork. On a lightly floured surface, gently unfold pastry.
Sprinkle pastry lightly with flour and, using a rolling pin, roll into a 14-by-10-inch rectangle. Brush top of with a beaten egg. Cut in half lengthwise to form two 7-by-10-inch) rectangles. Spread herb-cheese mixture with the back of a spoon evenly across 1 rectangle. Lay second rectangle across coated piece, egg side down. With rolling pin, lightly roll sheets together to seal. With a large knife, cut crosswise into strips, about 1/3 inch wide each. (Alternately, you can use a pizza wheel to cut the strips.) One at a time, grab the ends of each strip and twist in opposite directions to form a spiral. Transfer to prepared baking sheets.
Bake until light golden brown, about 10 minutes. Remove from oven and let cool on baking sheets until cool enough to handle. Serve either warm or at room temperature.