Allow the frozen puff pastry sheets to thaw slightly in the refrigerator for at least 60 minutes.
Preheat oven to 400-degrees Fahrenheit (205 Celsius)
Stir together the pumpkin puree, vanilla extract, granulated sugar, ground cinnamon, and nutmeg in a medium bowl until combined. Set aside.
Working with one sheet of dough at a time, unfold and remove the paper from the thawed package of puff pastry onto a lightly floured surface.
Press the folding seams lightly (so they're no longer visible) and roll the dough (with a light touch of flour and a floured rolling pin) into an evenly shaped rectangle.
Spread a light layer of the pumpkin spice mixture onto the puff pastry rectangle (an offset spatula works great for this) leaving an approximate ½" border around the entire sheet of dough.
Carefully start rolling one of the shorter sides of pastry into the center making sure to stop at the halfway point. Continue the same process with the adjacent end and stop rolling when the two rolls have met in the middle.
Place the double rolled palmier onto a parchment lined baking sheet (a cake lifter is a great tool for this) and then continue with the same steps for the remaining dough sheet and pumpkin spice filling. *Note - you may have some leftover pumpkin spice filling which you can use for another project.
Once each palmier is rolled place the baking sheet in the freezer for at least 10 minutes to firm.
Using a serrated knife, cut each palmier log, widthwise, into 12 equal pieces and place each piece onto parchment lined baking sheets. Sprinkle each palmier with sanding sugar if desired.
Bake the cut Palmiers in the preheated oven for 10-12 minutes and then rotate the baking sheets and flip each Palmier. Sprinkle the second side or each with sanding sugar if desired. Return the baking sheets back into the oven and continue baking for an additional 10-12 minutes, or until they're puffed and golden.
Remove from the oven and cool completely on a wire rack before serving. For best flavor serve these at room temperature.
Leftovers Palmiers should be stored in an airtight container in the refrigerator for up to 5 days.Baked Palmiers may be frozen. Store them in an airtight freezer container for up to 2 months.Note - DO NOT substitute granulated sugar for the sanding sugar garnish as granulated sugar will burn in the oven and sanding sugar will retain its form and crunch.Note - Store any LEFTOVER PUMPKIN SPICE FILLING in an airtight container in the refrigerator and use it for other dessert recipes or even cocktails. Why not fold some into freshly whipped cream and serve it with your favorite pie or autumnal dessert?