Preheat your oven to 400°F (200°C). Line a baking sheet with parchment paper.

Prepare the filling: In a medium bowl, gently mix the diced nectarines, granulated sugar, lemon juice, cornstarch, and vanilla extract until well combined. Set aside.

Cut each pie crust sheet into three equal squares (you should have 6 squares in total). Place about 2 tablespoons of the nectarine filling onto the center of each square, leaving a 1-inch border.

Fold the pastry over to form a triangle shape, aligning the edges. Crimp the edges firmly with a fork to seal the turnover completely. Cut two small slits in the top of each turnover to allow steam to escape.

In a small bowl, whisk together the egg and 1 tablespoon of water to create an egg wash. Brush the tops of the turnovers lightly with the egg wash. Bake for 20-25 minutes, or until golden brown and puffy.

While the turnovers are cooling slightly, make the glaze by whisking the powdered sugar and milk together until smooth. Drizzle generously over the warm turnovers before serving.