Heat the oven to 400°F and line a baking sheet with parchment paper.
Unroll the puff pastry sheet on a lightly floured surface and sprinkle the mozzarella evenly over half of it.
Fold the plain half over the cheese and press gently to seal.
Cut the folded pastry into 4 long strips with a pizza cutter.
Twist each strip several times, then wrap a thin extra strip of pastry around the middle of each twist to create a mummy bandage effect.
Place the twists on the baking sheet and brush them lightly with the beaten egg.
Bake for 12 to 15 minutes until golden brown.
Remove from the oven and press two candy eyes onto each twist while still warm.