Blend cream cheese with lemon zest. Roll the puff pastry out on a floured surface into a 6in x 10in rectangle and spread the cream cheese over. Add salt and pepper to taste.
Using a sharp knife, cut the pastry into 10 long, thin strips.
Wrap one pastry strip in a spiral around each asparagus spear and place onto a baking tray. Lightly brush each with beaten egg and sprinkle the cheese on top.
Bake the cigars in the oven for 15-20 minutes, or until the pastry has risen and is golden-brown.