MAKE THE EGG WASH
Whisk together the egg and milk in a small bowl. Set aside.
PREPARE THE CINNAMON SUGAR
To a small bowl, combine sugar and cinnamon and set aside.
MAKE THE APPLE PIE FILLING
To a pan over medium heat, add the butter, apples, light brown sugar, cinnamon, salt, vanilla extract, and lemon juice.
Mix together and allow to simmer on low heat for 6 to 8 minutes until the apples are soft when poked with a fork.
Combine the water and cornstarch in a small bowl to make the cornstarch slurry and add this to the pan. Mix together to thicken the filling and then take off the heat and transfer to a bowl.
PREPARE THE PUFF PASTRY
Preheat oven to 400°F.
Spread the puff pastry on a baking sheet. Cut each sheet into four equal pieces.
Brush the edges of each piece with just a bit of egg wash.
Add the apple filling along one side and fold over. Press down on the edges to help seal it. Take a fork and press around to seal shut. Repeat with the reset.
Brush the tops with egg wash and sprinkle with cinnamon sugar.
Transfer to the oven and bake for 20 to 25 minutes or until golden brown.
Enjoy warm!