Preheat oven to 375F/190C. Line a baking sheet with parchment.
Beat egg and cayenne; set aside
Unroll pie crusts on a lightly floured surface. Brush entire circles of crust with the egg mixture (reserve a bit for brushing the twists). Distribute cheese evenly over half of each crust.
Fold the ends without cheese over the sides with cheese forming a semi circle and press or roll getting out any air bubbles and that the cheese adheres to the dough.
Using a sharp knife or pastry wheel, cut into 1-inch/2.5 cm strips and form twists by holding the ends and twisting in opposite direction. Place on prepared pan and brush with remaining egg mixture. Sprinkle with coarse salt (if desired) and paprika.
Bake for 10-15 minutes or until golden brown.
Notes
I got 16 twists and nutrition info is based on 2 cheese twists per person.