Preheat the oven to 350 °F / 177 °C) and line a baking sheet with parchment paper.
Unfold one sheet of the puff pastry onto a lightly floured work surface.
Cut the sheet into 4 equal squares (approximately 6" long and wide). Spread 1/2 cup Nutella® hazelnut spread with cocoa on all 4 pastries, leaving a 1/2-inch border around all the edges.
Tightly roll up the pastry into a small logs. Cut each the log in half lengthwise then carefully twist together the two pieces to form a braid, pinching the ends together to hold the braid in place.
Repeat the filling with Nutella® hazelnut spread, rolling and braiding process with the second sheet of puff pastry. Then arranges the twists on the baking sheet.
In a small bowl, whisk the egg then brush it on the top of the twists. Bake for 20 to 25 minutes or until they're golden brown and cooked through.
Remove the twists from the oven and allow them to cool for at least 10 minutes on the baking sheet. Dust it with confectioner sugar before serving.