Preheat oven to 400 degrees F and line baking sheet with parchment paper and set aside.
Unfold the pastry sheets on a clean, floured surface and use a 3-inch round cookie cutter to cut 9 circles of dough out of each sheet.
In a small bowl, beat together the egg and water. Use a basting brush to brush the egg wash around the outer edge of 9 of the dough circles.
Unwrap the Reese's peanut butter cups and place one in the center of each of the 9 egg washed dough circles. The other two cups will be used later.
Place the remaining 9 circles on top of the Reese's cups and use a fork to pinch the edges of the two pieces of dough on the top and bottom of the Reese's together.
Bake on parchment lined baking sheet for about 13-15 minutes, until tops are lightly golden.
Let donuts cool on baking sheet for 10 minutes.
Dip tops of donuts in chocolate sauce and sprinkle with chocolate sprinkles. Finely chop the remaining Reese's and sprinkle on the top of the donuts.