Prepare a baking sheet with parchment paper or silicone baking mat.
Pulse the cream cheese, granulated sugar, vanilla extract, 1/2 teaspoon salt in a food processor until smooth. Add the flour and butter; pulse until the butter is in pea-size pieces. Divide the dough into 3 pieces; pat into disks and wrap in plastic. Chill 1 hour.
Remove one portion of dough from the refrigerator. Let the dough soften slightly at room temperature for a few minutes to make it easier to roll.. Lightly flour a rolling pin, and roll out one portion of dough into a 12 inch circle
Combine the sugar and cinnamon for the filling in a small bowl and set aside.
Spread a thin layer of jam (about 1/3 cup) and sprinkle with 1/3 of the cinnamon sugar mixture , 1/3 of the pecans on each dough round in a ring, leaving a 1/2-inch border.
Using a sharp knife or pizza cutter, cut each round into 12 wedges. Starting at the wide end (outside of the circle), roll each wedge toward the point (towards the middle of the dough).
Arrange each cookie 2 inches apart on the prepared baking sheet. Refrigerate until firm, about 30 minutes (this will help with the jam from leaking and the pastry from spreading).
Position a rack in the center of the oven and preheat to 350°F (177°C). Make an egg wash by whisking together in a small bowl the egg and water. Brush the rugelach with the egg wash and sprinkle with turbinado sugar.
Bake until golden, about 25 to 30 minutes until pastry is golden brown. Some jam may leak from the pastries while baking, this is normal. Transfer to racks to cool completely. Repeat with remaining portions of dough and finish making rest of cookies.