Preheat your oven to 220 °C (428 °F).
Roll out the puff pastry on a work surface, flatten it slightly with a rolling pin, and cut it into about ten strips, each around 2 cm (1 inch) wide.
Grease some cannoli cylinders with olive oil and wrap each one with a strip of puff pastry.
Place them on a baking sheet lined with parchment paper, brush them with beaten egg and bake for 15–20 minutes.
Once the Cannoli are baked, remove them from the oven and let cool.
Meanwhile, cut the salmon into strips and mix chopped chives with the Philadelphia, working it with a spoon until you obtain a creamy mixture.
When they are warm, gently remove the cannoli cylinders, being careful not to break the cannons.
One by one, using a piping bag or a teaspoon, add the Philadelphia cheese into the cannoli without overfilling.
Very gently, add a few strips of smoked salmon to each cannoli and garnish with fresh chopped chives.