Place puff pastry on counter top for 40 minutes or so to thaw. Preheat oven to 400 degrees. Line baking sheet pan with parchment paper.
Unwrap thawed pastry and place on a lightly floured work surface. Unfold and remove any paper. Cut the pastry along the folded lines. Cut each third pastry in half, giving you 6 pieces of rectangular shaped pastry dough.
Place rectangles onto prepared baking sheet pan keeping them 1 inch apart. Lightly brush beaten egg on the rectangles from edge to edge. Sprinkle sugar on the tops.
Place sheet pan in preheated oven 10-12 minutes until lightly browned and pastries are puffed up. Remove from oven and place on a rack and allow to cool for a few minutes.
In a large mixing bowl, cream together shortening and butter for 5 minutes until light and fluffy. Beat in powdered sugar 1 cup at a time until well combined. Mix in vanilla. Beat in marshmallow fluff for 2 minutes until fluffy.
Using a serrated knife cut in half cooled pastries to form tops and bottoms.
Using a pastry bag with a large tip, pipe filling in 6 dollops on the bottom half of pastry. Place top on the filling. Enjoy your cream horns.
NOTE: these can be stored at room temperature.