Beat cream cheese and butter on medium-high speed using an electric mixer with a paddle attachment until light and fluffy, about 3 minutes. Scrape down sides of bowl and paddle.

With mixer on low, gradually mix in flour.

Place dough on a lightly floured work surface and knead gently to form a ball. Divide dough into thirds and place each third on a piece of plastic wrap. Flatten each piece of dough into a square and wrap in plastic. Refrigerate 4 hours or overnight.

Place rack in center of oven and heat oven to 400 degrees. Line 3 baking sheets with parchment paper.

Take 1 piece of dough out of refrigerator, unwrap and place on a lightly floured surface.

Roll into a 1/8-inch thick rectangle. Trim the edges so that they are straight using a pizza cutter. Cut into 1 1/2-inch squares and transfer squares to baking sheet.

Spoon about 1 teaspoon of Nutella onto each square. Fold one corner into the center, dab with egg, and bring opposite corner to center so that the 2 corners overlap. Press together to seal.

Place in oven and bake 10 to 12 minutes, until just starting to lightly brown.

Transfer to a rack to cool. Dust with confectioners' sugar.

Repeat with remaining dough.