Preheat the oven to 400°F. Line a baking sheet with parchment paper.
Place the puff pastry sheet on a clean work surface with the long side facing you. Spread the nutella evenly over the top. Using a sharp knife or pizza wheel cutter, cut the pastry lengthwise into 18 (½-inch-wide) strips. Place one strip on top of another, with the nutella facing up, and form into a circle. Transfer to the baking sheet. Repeat this process until you have 9 twists total. Brush the pastry with the egg yolk and sprinkle with sugar. Bake in the oven for 13-15 minutes or until golden all over.
Remove from the oven and cool on wire cooling racks.