Thaw the puff pastry and if it does not come pre-rolled, roll it out on a lightly floured surface. Cut it into eight 5x5 inch squares.
Spread 2 tbsp of Nutella in the middle portion of each pastry square. Drop about 12 mini marshmallows on top of the Nutella.
Whisk together the egg white and the water.
Brush some of the egg wash around the border of the square. Fold over the turnover and gently press down along the side with your fingers to make sure there is an even seal. Use a fork to crimp all the edges so the filling will not leak out.
Brush some egg wash on top of each turnover. Sprinkle some sugar on top.
Place the turnovers on a baking sheet, leaving at least 1 inch space between them.
Bake for 20 minutes or until the pastry is lightly browned around the edges.