How to Make It
With an electric mixer, beat the butter, cream cheese, vanilla, and ⅓ cup of the sugar at medium speed until creamy, 2 to 3 minutes. Reduce the mixer speed to low and gradually add the flour and salt, mixing just until combined (do not overmix).
Form the dough into 4 disks and wrap in plastic. Chill until firm, at least 2 hours and up to 2 days.
Heat oven to 325° F. Line 2 baking sheets with parchment. In a food processor, combine the walnuts, cinnamon, and the remaining ⅔ cup sugar and process until the nuts are finely ground. Reserve ½ cup of the nut mixture for the tops of the cookies; transfer the remainder to a small bowl for the filling.
Working with 1 disk at a time (keep the remaining disks chilled), on a lightly floured surface, roll out the dough to form a 9-inch round. Spread it with 2 tablespoons of the jam and sprinkle with ¼ of the walnut mixture in the bowl. Using a pizza cutter or sharp knife, cut the round into 12 equal wedges. Roll up each wedge, starting at the outer edge. Place the cookies on the prepared baking sheets, spacing them 2 inches apart. Brush with the egg mixture and sprinkle with 2 tablespoons of the reserved nut mixture.
Bake the cookies, rotating the baking sheets halfway through, until golden, 30 to 35 minutes. Transfer the cookies to a wire rack to cool completely.
Storage suggestion: Store the rugelach at room temperature, between sheets of wax paper in an airtight container, for up to 5 days.