Preheat the oven and line baking sheets with parchment paper while wrapping ice cream cones tightly in aluminum foil to create the molds.

Unfold the thawed puff pastry sheets on a lightly floured surface and cut each sheet into twelve even strips using a pizza cutter.

Wind the pastry strips around the foil-covered cones starting from the tip and overlapping the edges slightly to ensure there are no gaps.

Place the cones seam-side down on the baking sheets, brush them with the beaten egg wash, and sprinkle generously with coarse sugar crystals.

Bake until the pastry is puffed and deep golden brown, then let them cool briefly before sliding the shells off the molds to cool completely on a wire rack.

Prepare the filling by beating the butter and shortening until smooth, then gradually adding powdered sugar, vanilla, and the marshmallow fluff until the mixture is light and very fluffy.

Transfer the marshmallow cream into a piping bag and fill each cooled pastry shell from the bottom to the top.