1. Preheat the oven to moderately hot 200°C (400°F).
2. Add the asparagus to a large pan of lightly salted boiling water and simmer for about 3 minutes, then drain and refresh under cold running water. Trim to 4 inch lengths.
3. Combine the salt, black pepper and lemon rind in a shallow dish and roll each asparagus spear in this mixture.
4. Cut the puff pastry sheets into 5 x 2 1/2 inch rectangles and place one asparagus spear on each piece of pastry. In a bowl, combine the egg yolk with 2 teaspoons water and brush some on the sides and ends of the pastry. Roll the pastry up like a parcel, enclosing the sides so that the asparagus is completely sealed in. Press the joins of the pastry with a fork.
5. Place the parcels on lightly greased baking trays. Brush with the remaining egg and sprinkle with sesame seeds. Bake for 15 - 20 minutes, or until golden. These parcels are delicious served warm or cold, with tzatziki.