Line a rimmed baking sheet with parchment; set aside.
Combine flour, sugar, baking powder and salt in a medium bowl. Add butter and cut in with a pastry cutter, two knives or your hands until mixture resembles coarse crumbs. Make a well in the centre and add water, stirring until a shaggy dough forms. Press dough together to form a ½-inch (1-cm) thick disc. Wrap in plastic wrap and refrigerate for 20 minutes.
Turn dough out onto a lightly floured surface and roll into an 8x14-inch (20x35 cm) rectangle. Fold one short edge 1/3 of the way towards the other short edge, then fold over the exposed third to cover. Quarter turn the dough; roll out into an 8x14-inch (20x35 cm) rectangle and fold as before. Repeat a third time. Refrigerate 20 minutes.
Stir together mascarpone, egg yolk, sugar and vanilla in a small bowl.
On a lightly floured surface, roll dough to a 10x15-inch (25x38cm) rectangle, trimming edges if desired. Cut in half lengthwise and cut each piece into thirds crosswise to form six 5-inch by 5-inch squares.
Preheat oven to 400F (205C). Whisk egg with milk in a small bowl.
To form pinwheel: from each corner cut a slit 2-inches (5cm) long toward the centre leaving a 1-inch (2cm) uncut area in the centre. Lightly brush with egg wash and take one corner to centre and press lightly to adhere. Take the same corner with the remaining edges and repeat folds, pressing in centre of pastry. Place on prepared sheet and repeat with remaining squares.
Egg wash pasty and fill center with cheese mixture and a dollop of jam. Sprinkle pastry with sugar.
Place in oven and lower oven temperature to 375F. Bake until golden brown, about 20 minutes.