Preheat the oven to 400°F/200°C. Line a sheet pan with parchment paper. Cut 27 pieces of kitchen twine, each 10 inches long.
In a pot, add ¼ cup of water and kabocha squash. Cover and cook over medium heat until tender, for about 10 minutes. Once they’re cooked, uncover and cook off the liquid.
Transfer the cooked kabocha to a bowl and mash with a fork until creamy with some texture left. The kabocha skin should mash easily with a fork. Let it aside to cool while preparing other ingredients.
While kabocha is cooking, start preparing cranberries. In a saucepan, combine cranberries, orange juice, and maple syrup. Bring a mixture to a simmer over medium heat and cook until cranberries burst and the sauce is thickened, for 10 to 15 minutes. Stirring occasionally. Reduce the heat to low if necessary to maintain the gentle simmer.
Remove from the heat and let cool.
Cut the Brie wheel into three equal wedges.
Dust your work surface with all-purpose flour. Roll out the thawed puff pastry into a slightly bigger square, about 10 inches by 10 inches. Then cut into 9 squares.
In the center of one piece of puff pastry square, place a one-third piece of brie cheese, about ½ tablespoon of cranberry sauce, and about 1 Tablespoon of kabocha mash. Carefully gather the edges of the puff pastry to wrap the filling and pinch them together to seal. Repeat with remaining ingredients.
Arrange 3 pieces of kitchen twine in a criss-cross pattern and place one puff pastry ball on top, with smooth side down. Tie each string around the ball just tight enough. Repeat with the remaining balls.
On the prepared baking sheet, place puff pastry balls with the knot side down. Beat an egg and 1 Tablespoon of water together to make egg wash. Brush egg wash over each ball.
Bake until golden, for 15 to 20 minutes. The filling can start to leak, but that’s ok, it’ll set after cooling.
Once the balls are out of the oven, let them cool slightly until they’re comfortable enough to touch. Remove all the kitchen twine. Stick a halved cinnamon stick in the center, so they look like little pumpkins. Serve warm and enjoy!