In a food processor, combine sugar and butter until incorporated.
Add vanilla, egg, and water until smooth, scraping down the sides as needed.
Add flour, cinnamon, nutmeg, cornstarch, baking powder, and salt.
Pulse until a dough forms.
Flatten into a disc, and wrap in plastic wrap. Refrigerate for at least 45 minutes.
*Meanwhile, make the filling:* melt butter in a pan, add apples, brown sugar, vanilla, cinnamon, and flour. Cook on medium for 4-5 minutes or until the apples begin to soften.
Add lemon juice and water. Bring to a boil, and reduce heat to low, for 6-8 minutes, or until the apples are soft. Set aside to cool.
Preheat the oven to 350F. Line 2 trays with baking paper.
Roll dough out on a floured surface to 1/8th inch thickness (if they are too thick, the dough will crack when shaping.
Using a 3-inch circular cookie cutter, cut out circles, setting them aside. Repeat with remaining dough.
Use a pastry brush to brush the egg on the dough.
Scoop 1 tsp apple filling into the center of each circle.
Fold the dough into a triangle, pinching the corners tightly.
Brush with egg wash.
Bake for 12-14 minutes or until golden.
Transfer to a cooling rack.
Enjoy!