Combine the rhubarb and sugar in a medium saucepan set over medium-low heat. Simmer the mixture, stirring occasionally, until the rhubarb is tender, 5 to 10 minutes. Remove the pan from the heat and stir in the strawberries and cinnamon. Set the mixture aside to cool to room temp. Once the mixture has cooled completely, strain out any liquids.
When ready to prepare the turnovers, preheat the oven to 400°F and line two baking sheets with parchment paper or Silpats.
Unfold the puff pastry sheets onto a lightly floured work surface the using a rolling pin, gently roll the pastry to seal any perforations. Cut each sheet of puff pastry into 4 squares.
Divide the strawberry-rhubarb filling among the squares, spooning a portion into the centers of the squares and then carefully folding them in half diagonally to form triangles. Using a fork, crimp together the edges to seal them then transfer the turnovers to the prepared baking sheets, spacing them at least 2 inches apart.
Cut three small slits atop each turnover then brush them with the egg. Bake the turnovers for 15 to 18 minutes or until they’re golden brown and puffed. Remove the turnovers from the oven and transfer them to a cooling rack to cool completely while you make the glaze.
MAKE THE GLAZE:
Sift the powdered sugar into a medium bowl then whisk in the milk and vanilla extract until the glaze is smooth.
Once the turnovers have cooled completely, use a fork to drizzle them with the glaze or alternately, transfer the glaze to a sealable plastic bag or piping bag and pipe it atop the turnovers. Serve immediately.