Preheat oven to 350 degrees F.
Unfold one thawed puff pastry sheet. Keep the second sheet refrigerated. Dust the dough with a flour; roll until it becomes and even rectangular about 12 inches long. Use a pizza cutter to slice the dough into even 1 1/4 inch strips. If you want you can grease cream horn metal cones with a small amount of vegetable oil. Wrap the dough around the mold, pushing the dough down to seal it as you go. Separate egg yolks from the whites. Reserve the whites, will use them for the filling later.
Whisk the egg yolks with the milk and lightly brush the pastry with the egg wash. Place the cones on a baking sheet layer with a parchment paper. Bake for 20-25 minutes or until golden brown.
Meanwhile make a syrup. In a small sauce pan combine water and sugar. Bring to a boil and stir until sugar dissolves. Remove from the heat. Using an electric mixer, beat the egg whites in a medium bowl until frothy. With a mixer running slowly pour hot (240-250 F) syrup into the whites. Add lemon juice and vanilla extract. Continue beating until the meringue becomes room temperature.
Remove cones from the oven. Let cool on a wire rack. Then remove pastry cones from the molds. Place the filling in a pastry bag and pipe it into each cream horn, making sure to fill the cone.