Defrost the puff pastry according to package instructions — typically in the fridge for a couple of hours.
Preheat oven to 400°F with two racks close to the center. Line two baking sheets with parchment.
Unfold the puff pastry on a lightly floured surface and flour the top, too.
If you're using one 14-ounce sheet, roll it out into a 16-inch square. If you're using two 8 ½-ounce sheets, roll each out into a 12-inch by 14-inch rectangle.
In a small bowl, mix together the salt, cayenne, nutmeg and black pepper. Sprinkle over puff pastry.
Next, sprinkle the shredded cheese over the puff pastry. It's best if you vaguely aim for even distribution but inevitably don't achieve it, which will make each bite a little different in a good way.
Press down lightly with your hands to stick the toppings to the pastry.
Fold each sheet in half (if using the two puff pastry rectangles, fold over the longer side to make 12-inch by 7-inch rectangles), then roll out again until the short side reaches 12 inches.
Slice each sheet into 1-inch by 12-inch strips.
Twist the two ends of each strip in opposite directions a few times and place twists on baking sheets with a little space in between. Press the ends down to secure.
In a small bowl, beat the egg with one tablespoon of water to make an egg wash.
Brush each twist with a little bit of egg wash.
Bake for eight minutes, then rotate pans and switch their positions on the racks and bake for eight minutes more, until puffed and golden brown.