Line a baking sheet with parchment paper or a Silpat mat.
Cut out both puff pastry sheets in the shape of a Christmas tree. Evenly spread Nutella on one sheet of pastry. Place the other cut out sheet of puff pastry on top.
Transfer to baking sheet. Cut slits on both sides spacing them about 1-inch apart (or about 2 cm), leaving the centre intact.
Twist each strip of pastry twice, pressing the ends into the baking sheet. Cut out two star shapes with the leftover pastry, spread one with Nutella and place the other on top like a sandwich. Place the star on the top of the tree.
Brush pastry with egg yolk mixed with a little water. Bake for 25-30 minutes at 400°F (200°C) until golden.
Allow to cool for 5 minutes. Lightly brush pastry with the melted butter (you may not use it all), and sprinkle with cinnamon sugar.