Make the filling: Mix ricotta cheese, confectioners' sugar, lemon zest, lemon juice, and vanilla extract together in a small bowl until combined and smooth. Set aside.
Line a large baking sheet with parchment paper. On a lightly floured surface, roll out one pastry sheet. Use a pizza cutter and cut the sheet into 6 squares. Transfer the squares to the prepared baking sheet.
Using a pastry brush, brush the squares with the egg wash. Spoon 1-2 tablespoons of the ricotta mixture onto one triangle of each square. Fold the empty triangle over the filling and line up the edges as best as you can. Crimp the edges with a fork to seal shut.
Repeat this with the 2nd puff pastry sheet so you have a total of 12 pockets. Slice 2 slits in the tops for air vents and brush them with egg wash, then sprinkle coarse sugar on top. Chill the pockets in the fridge for 25 minutes or up to 1 day.
Preheat the oven to 375°F (190°C) during the last few minutes of chill time. Bake the pockets for 20-25 minutes, or until the tops are golden brown.