In a large bowl, add cubed sweet potatoes, olive oil, salt, and pepper. Mix well.
On a baking sheet, add sweet potatoes, bake for 30 minutes at 375 degrees. Set aside to cool, for 10 minutes.
Place Sweet potatoes in a large bowl, using a fork, mash sweet potatoes, mix well, until smooth.
Cream Cheese Mixture: Using a hand mixer, in a large bowl add cream cheese, icing sugar, cornstarch, vanilla extract, mix until full combined.
Sweet Potato Mixture: In a bowl, add mashed sweet potato, brown sugar, cinnamon, nutmeg, and mix until combined
Sweet Potato Cream Cheese Filling: Using a rubber spatula, fold sweet potato mixture into cream cheese mixture, until fully combined.
Puff Pastry Assembly: Lay Puff Pastry Sheet flat on a clean surface, add sweet potato filling in the center of the sheet using a spreader, make a cavity in the center, and add Nutella filling the cavity.
Brush water on outside edges of puff pastry sheet and cut diagonally to form braid. Fold one side over the other side making a braid. Repeat process.
Brush egg wash, on top of each strudel, and sprinkle white sugar on top, and place in oven for 20 minutes at 375 degrees, until golden brown and cooked.