Combine the flour, sugar, and salt in a food processor and pulse to combine. Add the cream cheese and butter and pulse until the mixture resembles coarse meal (be careful to not over process).
Turn the mixture out onto a lightly floured work surface and shape the dough into two 6-inch squares. Wrap in plastic and refrigerate it for at least two hours and for up to two days.
With a lightly floured rolling pin on a lightly floured surface, roll out one of the dough squares into a rough 12 1/2-inch-by-8 1/2-inch rectangle, trimming the edges with a fluted pastry wheel so it measures exactly 12-by-8 inches.
Use the fluted pastry wheel to cut the dough into 2-inch squares. Transfer the squares to a parchment-lined baking sheet, an inch apart, refrigerate the sheet, and repeat with the remaining dough.
Preheat the oven to 375 degrees. Use the fluted pastry wheel to cut 1-inch diagonal slits from each corner of a square toward the center, taking care not to cut all the way through.
Place ΒΌ teaspoon of jam in the center of each square. Gently lift every other point and fold it into the center, overlapping the points of the folded tips slightly over the jam. Repeat with the remaining squares.
Lightly brush the cookies with the beaten egg and sprinkle liberally with the sanding sugar. Bake until the edges of the cookies are deep golden, 14 to 18 minutes.
Transfer the baking sheet to a wire rack and let the cookies cool completely on the sheet. Pinwheels will keep in an airtight container for two to three days.