Heat the oven to 375°F and line two baking sheets with parchment paper. Keep one sheet nearby for assembling the pies before chilling.
Unroll one pie crust on a lightly floured surface. Using a 3-inch round or hand-shaped cookie cutter (or a small rectangular template), cut as many shapes as you can. Repeat with remaining crusts. Reserve scraps to roll once more and cut additional shapes.
In a small bowl, stir the jam together with the lemon zest until evenly combined. This brightens the jam and helps balance sweetness.
Place half of the cut shapes on the prepared baking sheet. Spoon about 1 teaspoon of jam into the center of each shape — avoid overfilling so seams seal well.
Brush a thin ring of beaten egg around the edge of each filled shape. Cover each with a second cut shape and press the edges together with your fingers to seal. Use the tines of a fork or press lightly with a thumb to create a decorative edge.
Trim any excess dough and use the scraps to roll thin 1/4-inch strips. Lay the strips across the top of each pie diagonally to create a 'bandage' or mummy effect; press the ends into the edge to secure. Make two tiny holes or small slits for vents.
Set the assembled hand pies on a baking sheet and refrigerate them for 8–10 minutes. Chilling firms the dough so the shapes hold up better while baking.
Brush the tops of the chilled pies with the remaining egg wash. Bake in the center of the oven for 14–16 minutes, rotating the pans halfway through, until the crusts are puffed and golden-brown.
Transfer pies to a wire rack to cool for at least 15 minutes before glazing so the jam doesn’t run.
Whisk together powdered sugar, 1 tablespoon milk and the vanilla extract until smooth and pipeable; add up to 1 more tablespoon milk if needed. Spoon the glaze into a small piping bag or a resealable bag with a corner snipped.
Pipe thin zigzags of white glaze to accentuate the mummy bandages. For eyes, dot two small circles of glaze and — if desired — tint a tiny bit with a drop of black gel coloring or use mini chocolate chips for pupils. Let the glaze set about 20 minutes before serving.