Preheat the oven to 400°F. Line a sheet pan with parchment paper.
Unfold the pastry on a lightly floured surface and roll it into a rectangle about 10x12 inches.
Brush the pastry with some of the beaten egg. Sprinkle the cheddar and paprika over one half, then fold the other half over the top.
Roll lightly with a rolling pin to press the layers together. Cut crosswise into strips about ¾ inch wide.
Twist each strip several times and place on the pan, pressing the ends down. Brush with the remaining egg.
Bake for 12–15 minutes, until puffed and deep golden. Cool for a few minutes before serving.