Make the apple filling: Place all the filling ingredients into a medium saucepan. Turn the heat to medium and cook for 15-20 minutes until the apples are soft and thick. Keep an eye on it and stir continuously with a rubber spatula. If it gets too sticky, add an extra tablespoon of water. Use a potato masher to mash so it is partly smooth with some chunks. You can blend if you want the filling fully smooth. Place in the fridge to cool completely.
Let the pie dough come to room temperature for 10 minutes and prepare a medium size baking sheet with parchment paper.
Roll the pie dough to ⅛-inch thickness. Use a sharp knife or pizza cutter to slice into 3x4-inch rectangles. You may have to re-form the scraps and roll again. You will need 12 rectangles total. Place 6 on the parchment-lined baking sheet with space between them.
Place 1 heaping tablespoon of chilled apple filling in the middle of each of the 6 rectangles, leaving a border of empty dough around the outside. Dip a finger in water and run it around the edges of the rectangles to help the top dough stick.
Place the other 6 pieces of dough on top of each of the filled pastries. Press and crimp the edges all the way around with a fork to seal the dough. Stab the top of each pastry twice with the fork as an air release. Refrigerate for 20 minutes and preheat the oven to 375ºF.
Whisk the egg in a bowl. Brush the egg on the tops of the pastries. Bake for 15-20 minutes, until golden.
While baking, mix the powdered sugar, milk, and cinnamon in a small bowl and set aside.
Allow the pastries to cool on the baking sheet. After 10 minutes, place a tablespoon of icing on top of each pastry. The heat will help it to melt and spread. Top with sprinkles or coarse sugar, if desired. Enjoy warm!