For the foam rolls, preheat the oven to 200 °C top/bottom heat. Roll out the puff pastry to a thickness of approx. 2.5 mm and cut into 1 cm wide strips.
Then roll the puff pastry strips over the molds in a spiral, overlapping the pastry slightly. Brush with a beaten egg and bake in the oven for about 15-20 minutes until golden brown.
For the filling, mix the two egg whites with the powdered sugar and whip in a bain-marie until foamy. Use a piping bag to pipe the filling into the foam rolls.
Sprinkle the foam rolls with some finely sifted vanilla sugar.