To make Apple Pie Filling:
Toss sliced apples with lemon juice and set aside.
In a saucepan or a pot combine cornstarch, sugar, brown sugar, cinnamon, nutmeg, and water. Stir well and bring to a boil over medium-high heat whisking constantly. Let it boil 2 minutes until thick, then stir in apple slices.
Reduce heat to low, cover the pot and let it simmer about 10 minutes. Apples should be soft but not mushy (cooking time depends on the sort of apples). Remove apples from heat and leave them covered to soften and cooled.
When it’s cooled take out the apples from the sauce and chop into small pieces, set aside.
To make Pie Crust:
In a large mixing bowl place flour, salt, and sugar and mix to combine.
Using a pastry blender incorporate chilled butter cubes into the flour mixture(the mixture should resemble coarse meal)
Drizzle 2 tablespoons ice water over the mixture and blend, repeat with another 2 tablespoons water. When you squeeze the dough it should hold together (you may have to add more water if the dough crumbles, add 1 tablespoon at a time)
Divide the dough into two equal pieces, flatten and form two-disc, pack each disc with plastic wrap and refrigerate 1 hour.
Lightly dust working surface with flour, place chilled dough, dust the dough and the rolling pin, too. Turn the dough as you rolling to prevent it from sticking. Roll it out 1/8-inch thick.
Repeat the process with the other disc.
Assembling the Apple Pie Cookies:
Preheat the oven to 350 F, line cookie sheet with parchment paper, spray with non-stick spray, and set aside.
Spread the caramel sauce onto one pie crust.
Spread chopped apple pie filling over the caramel and gently tap the filling with your palms.
Cut second pie crust into 1/2 inch strips and create a lattice top over the filling.
Using a round cookie cutter (about 2.5 inches) cut out the cookies and place them onto the baking sheet.
Beat the egg with a fork and brush the top of cookies.
Combine cinnamon and sugar and sprinkle the cookies generously.
Bake 20-30 minutes (until golden brown).