Lay out puff pastry and cut into strips. Wrap each strip around single asparagus.
Whisk an egg with a little bit of water and brush the egg wash on top of puff pastry. Top with a little lemon zest and sea salt.
Bake for 20 minutes.
Meanwhile, in a medium bowl, add mayo, some lemon zest, juice from half a lemon, parsley and sea salt. Whisk together to combine forming a dipping sauce.
Drizzle sauce on finished puff pastry or enjoy as a dip for your asparagus!