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Preheat the oven to 350°F. Line a baking sheet with parchment paper.
Roll out pizza dough on the parchment paper to a 12x12-inch square (if dough is not stretching, let rest several minutes and try again).
Spread cream cheese in a 4-inch-wide strip in the middle of the dough square.
Top with cranberry sauce and walnuts.
Using a sharp knife or pizza cutter, cut 1-inch-wide parallel strips at a downward angle on either side of filling, making sure to cut the same number on each side.
Starting at the top of the dough square, fold over just enough dough to cover edge of filling.
Arrange cut dough strips across filling, braiding while working from top to bottom. Fold over edge at bottom of dough square.
Lightly brush braided Danish with egg.
Bake until golden brown, about 40 minutes. Let cool slightly before slicing to serve.