Combine cranberries, sugar, orange juice, orange zest, and cinnamon in a small saucepan over medium heat. Cook until the berries burst and the mixture thickens, about 8-10 minutes, stirring occasionally. It should coat the back of a spoon. Remove from heat and let cool completely - the sauce will thicken more as it cools.

Preheat oven to 400 degrees F. Line a baking sheet with parchment paper. Unfold the cold puff pastry on a lightly floured surface and roll gently to smooth any creases, keeping it roughly square.

Place the brie wheel in the center of the pastry. Spoon 3-4 tablespoons of cooled cranberry sauce on top of the brie - save the rest for serving. Fold the pastry corners up over the brie, trimming excess if needed, and pinch the seams to seal completely. Flip the package seam-side down onto the prepared baking sheet.

Whisk the beaten egg with water to make an egg wash. Brush evenly over the entire pastry surface. Use a sharp knife to cut a few small decorative slits in the top to allow steam to escape.

Bake for 20-25 minutes until the pastry is deep golden brown and crisp. Let rest for 5 minutes before serving - the cheese inside will be molten.

Transfer to a serving platter. Top with a spoonful of remaining cranberry sauce, a pinch of flaky sea salt, and fresh thyme if desired. Serve warm with crackers or sliced baguette.