In the bowl of a stand mixer fitted with a paddle attachment, combine the flour and baking powder. Mix in the whipped heavy cream, followed by the softened butter.
On a lightly floured surface, knead the dough until soft and smooth. Shape into a disc, wrap in plastic, and refrigerate for at least an hour.
Preheat oven to 400˚F. Line two baking sheets with parchment or lightly grease.
On a lightly floured surface, roll out the dough until 1/4 inch thick. Fold the dough into thirds by folding 1/3rd towards the center followed by the other side towards the center. Roll the dough out again, turn, and fold into thirds again along the other side to form the dough into a square. Roll out a final time to make a square about 1/4 inch thick.
Cut the sheet of dough into 3 inch squares (I made 30). To make the traditional shape, use a sharp knife to make cuts from each corner about halfway towards the center. Place a teaspoon of jam in the center of the square.
Lift every other split corner towards the center over the jam filling and pinch together to create a pinwheel/star shape. Place on the prepared baking sheet and repeat with remaining squares.
In a small bowl, beat together the egg and milk. Brush the top of each Joulutorttu with the beaten egg wash. Bake in preheated oven until golden, 7-10 minutes.
Allow to cool to room temperature and top with powdered sugar. Refrigerate in an airtight container if not serving immediately.