In a large bowl beat heavy cream with an electric mixer and whisk attachment until soft peaks form, set aside.
Combine flour, baking powder, sugar and salt in a large mixing bowl. Cut in butter with a fork or pastry blender. Can also be done in a food processor. Blend until fine crumbs.
Gradually fold whipped cream into dough in 2 additions. Once incorporated, turn out onto a lightly floured surface, knead dough until soft and smooth. Form into two balls, flatten into discs, wrap tightly in plastic wrap and refrigerate for 30 minutes.
Meanwhile, make the jam filling, add all filling ingredients to a medium size saucepan. Bring to a boil over medium heat, stirring often, reduce heat and simmer until thickened, about 10 minutes. Remove from heat, transfer to a bowl, mash with a fork to remove any large chunks. Place in fridge to cool. Preheat oven to 375°F.
After the dough has chilled, remove from fridge and allow to come to room temperature for 5 minutes. Working with one ball at a time, roll out to ⅛-inch thick. Cut into 3-inch squares and place on an ungreased cookie sheet spaced 1-inch apart. Cut diagonal slits 1-inch long in the corners of each square, like making an “X” from corner to corner, but do not go all the way into the middle. Place 1 heaping teaspoon of filling in the center of each square. To create the pinwheel shape, lift every other split corner and bring to center over jam. Pinch tips firmly together in the center.
Beat egg with water and brush over the tops, use extra on the center to prevent the star from opening up during baking, sprinkle lightly with coarse sugar. Bake at 375°F for 12 to 14 minutes, or until points are light golden brown. Let cool on baking sheet for 5 minutes before transferring to wire rack to cool completely. Repeat with remaining dough, rerolling any extra pieces.
Store in an airtight container for up to one week.
*TIP* Using a pizza cutter helps make smoother and faster cutting. Keep dough as cool as possible when working with it, over handling will start to melt the butter in the dough. If it gets sticky, place back in the fridge for 10 minutes.