Preheat oven to 400°F. Line two baking sheets with parchment or a silicon liner.
In a medium saucepot, combine water, butter, sugar and salt, and bring to a simmer. Once butter has melted, whisk in flour, breaking up any lumps. Once dough forms a ball and pulls away from the pan, remove pan from heat and beat in one egg at a time, making sure it’s fully incorporated before adding another. The dough will be glossy and thick.
If using parchment, lift the corners of the parchment and pipe a small amount of batter onto the baking sheet and press parchment back in place. This will prevent slipping during piping and baking.
Using two spoons, place small (about 1 inch) balls of batter, spacing them about 1-2 inches apart, in rows on each baking sheet. Dampen your finger with water to correct the shape of the tops as needed.
Whisk together the egg yolk and water for the egg wash and brush the tops of each puff. Place baking sheets in the oven and bake for 20 minutes or until puffed, glossy and rich golden on the outside.
Remove from oven and cool completely. (Puffs can be made a few days in advance and stored in an airtight container at room temperature. Return to oven for 5-10 minutes to crisp before using.)
For the filling, mix together mascarpone, salmon, dill and capers.
To assemble, slice each puff in half crosswise. Place a scoop of filling on each bottom piece and set tops in place. Serve at room temperature.