Preheat the oven to 400°F (or 204 C) and line two non-rimmed cookie sheets with parchment paper.
On a cold surface working quickly, cut your puff pastry into 3-inch squares. Using a 1.5” biscuit cutter, cut a hole in one of the pieces of puff pastry. Each pastry will have two pieces of separate puff pastry, one square one as the base and one holed one as the top.
Mix the mascarpone, egg, sugar, cinnamon, nutmeg, milk, and vanilla extract in a bowl. Whisk to combine thoroughly.
Place a pastry puff square on the parchment paper and carefully ladle about 1 tbsp of mascarpone mix into the center. Some may spill over the edge, but that’s okay. Layer on your rhubarb slices neatly, being certain to leave about ¼ inch on each side of the pastry.
Place the holed pastry puff on top of the rhubarb, making a little window for the rhubarb to peek through. Firmly press the puff pastry sides together to form a solid sealed edge.
Ladle another tbsp of mascarpone mix on top of the rhubarb inside the window.
Repeat until all pieces are assembled. This is easiest if you do each step for the entire batch you make instead of doing one at a time.
Bake for 15–18 minutes, or until the puff pastry is deeply golden, crisp, and fully puffed. Remove from the oven and allow to cool slightly before dusting with powdered sugar.