In a mixing bowl, whip together the heavy cream, mascarpone cheese, powdered sugar, and vanilla extract until stiff peaks form. Fold in the chopped hazelnuts.
On a floured surface, roll out the puff pastry sheet into a large rectangle. Cut the rectangle into 8 triangles.
Spoon a heaping tablespoon of the cream mixture onto the wide end of each triangle. Roll up the triangles, starting from the wide end, and place them on a baking sheet lined with parchment paper. Brush each cannoncini with beaten egg and sprinkle with granulated sugar.
Bake the cannoncini for 20-25 minutes or until golden brown. Let cool for a few minutes before serving.
Enjoy your Italian Cream Stuffed Cannoncini with a cup of coffee or tea. Buon appetito!