Peel and dice apples. Toss with lemon juice and set aside.
In a medium sauce pan combine the cornstarch, sugar, brown sugar, cinnamon, nutmeg and water. Stir to combine. Bring to a boil over medium-high heat. Whisk constantly. Let boil for 2 minutes until thickened.
Add in the peeled and diced apples. Reduce the heat to low and cover with a lid. Cook for 10 minutes or until the apples are soft, but not mushy. Remove the pan from the heat, leaving the lid on, and set aside to cool.
Preheat oven to 350 degrees F. Line cookie sheets with parchment paper. Spray the parchment paper with non-stick cooking spray. Set aside.
Lightly flour your work surface. Roll out the two pie crusts so they are 1/8″ thick.
Spread caramel sauce evenly onto one of the pie crusts. Spread the previously cooked apple pie filling evenly over the caramel sauce (use as little or as much pie filling as you like, but keep in mind you can overfill the cookies).
Cut the second pie crust into 1/2″ strips and lay them over the pie filling to create a lattice pie crust for the top of the cookies.
Using a round cookie or biscuit cutter (2.5 inches) cut out the cookies and place them on the prepared baking sheets.
Slightly beat the egg with a fork and brush the tops of the cookies.
Combine the sugar and cinnamon and sprinkle generously over the tops of the cookies.
Bake for about 25-30 minutes or until the cookies are golden brown.
Let cool several minutes before serving. Pie filling will be very hot upon removing from oven!