Preheat the oven to 400ºF / 200ºC degrees.
Whisk together the egg and tablespoon of water.
Unfold the thawed pastry dough onto a board and cut into squares.
Place a heaped teaspoon of Nutella into the center of each square.
Brush the edges of the pastry with the egg mixture, then fold one side diagonally over the other to form a triangle. Press the edges to seal.
Transfer to a baking sheet and bake until golden brown, about 15–20 minutes.
For the icing, mix the milk with the powdered sugar until you have a runny consistency. Drizzle over the tops of the warm pies.
Serve warm and enjoy that gooey Nutella goodness!