First, combine the diced apples, granulated sugar, ground cinnamon, vanilla extract, and cornstarch in a saucepan. Cook this mixture over medium heat for about 5 minutes, then reduce the heat and simmer for another 5 minutes until the apples soften slightly and the sauce thickens. Transfer the filling to a bowl to cool completely – This is crucial for preventing soggy pastry! While the filling cools, line two baking sheets with parchment paper, thaw your puff pastry if frozen, and combine the egg and milk in a small bowl for the egg wash.
Once the apple filling is cool, roll the thawed puff pastry into a 12-inch square. Using a sharp knife or pastry wheel, cut the pastry into nine equal 4-inch squares. Place these squares onto your prepared baking sheets. Spoon 2-3 tablespoons of the cooled apple filling onto the center of each pastry square. If desired, drizzle with salted caramel at this point – I find a little caramel takes these to the next level! Fold one corner of the pastry over the filling to meet the opposite corner, forming a triangle, then use a fork to firmly crimp and seal the edges.
Preheat your oven to 400°F (200°C). Brush the top of each assembled turnover with the egg wash for a beautiful shine and golden color. Using a small knife, cut two or three small slits in the top of each turnover to allow steam to escape during baking. Bake for 23-25 minutes, or until the pastry is puffed and deeply golden brown. Let them cool on the baking sheets for at least 5 minutes before transferring to a wire rack to cool completely. This resting time helps the filling set.