To make vanilla sugar - combine 1½ tbsp granulated sugar with ⅛ tsp to ¼ tsp of vanilla extract. Mix well.
In a large bowl, whisk together flour, ¼ cup granulated sugar, baking powder, salt and baking soda. Using a pastry blender, cut in butter until mixture is crumbly.
Add 1 cup of heavy cream and vanilla extract, stirring with a fork until dry ingredients are moistened.
Turn dough out onto a sheet of parchment paper. Divide dough in half and roll each half into a round. Cover with a second sheet of parchment paper and press each half into a 6-inch disk.
Remove top sheet of parchment paper and press filling into the center of one disk of dough, leaving a ¼ inch border on the sides.
In a small bowl, whisk together the egg and remaining 1 tsp. of heavy whipping cream. Brush the egg wash onto the ¼ inch border. Top with the remaining disk of the dough and press around the edges to seal. Cover and freeze for 30 minutes.
Preheat oven to 400°F. Line a baking sheet with parchment paper.
Using a sharp knife, cut dough into 6 wedges. Place at least one inch apart on baking sheet. Brush with egg wash and top with the 1½ tbsp vanilla sugar.
Bake until golden brown, about 20-25 minutes. Cover with foil halfway through to avoid over browning. Let cool on pan for 5 minutes and then move to a wire rack to cool completely.