Preheat your oven to 400°F (200°C) and line a baking sheet with parchment paper.
In a large mixing bowl, combine the chopped spinach, feta cheese, cream cheese, Parmesan cheese, minced garlic, oregano, lemon zest, salt, and pepper. Mix until well combined.
Roll out the puff pastry sheet on a lightly floured surface until it's approximately 1/8 inch thick.
Spread the spinach and cheese mixture evenly over the puff pastry sheet, leaving a small border around the edges.
Starting from one edge, carefully roll the puff pastry into a tight log. Seal the edge by pressing down gently.
Slice the rolled pastry into 1-inch thick pinwheels and arrange them on the prepared baking sheet.
In a small bowl, whisk the egg and brush the egg wash over the top of each pinwheel to achieve a golden color when baked.
Bake in the preheated oven for 15-20 minutes or until the pinwheels are puffed and golden brown.
Remove from the oven and let cool slightly before serving.
Notes
Serve warm on a platter, garnished with fresh lemon wedges and herbs.