Place artichokes and olives in a food processor; cover and pulse until finely chopped. Unfold 1 pastry sheet on a lightly floured surface; spread half of the cream cheese over half of pastry. Top with half of the artichoke mixture. Sprinkle with half of the Parmesan cheese. Fold plain half over filling; press gently to seal.
Repeat with remaining pastry, cream cheese, artichoke mixture and Parmesan cheese. Whisk egg and water; brush over tops. Sprinkle with sesame seeds. Cut each rectangle into sixteen 3/4-in.-wide strips. Twist strips several times; place 2 in. apart on greased baking sheets.
Bake at 400° for 12-14 minutes or until golden brown. Serve warm, with tzatziki sauce if desired.