Step 1Heat the oven to 350 degrees.
Step 2Mix the coconut, walnuts and 2 tablespoons of sugar in a small bowl and set aside.
Step 3Unfold the pastry sheets on a lightly floured surface. Roll each into a 12-inch square. Using a drinking glass or 3-inch round cookie cutter, cut out circles. Remove the shapes, roll out the remaining dough and continue making circles. Each sheet should yield 20 circles.
Step 4Place a circle in the palm of your hand and place 1 teaspoon of the coconut mixture in the center. Fold over the circle to form a half circle. Pinch the dough together firmly to seal the edges. Lay the dumplings on a nonstick baking sheet evenly apart and brush them with the egg.
Step 5Bake the dumplings until golden brown, 13 to 15 minutes. Sprinkle both sides of the dumplings with the remaining sugar immediately after removing from the oven.