Preheat the oven to 400℉ and line a large baking sheet with parchment paper.

Add the diced apples, brown sugar and cinnamon to a large pan and heat over medium heat until the apples begin to soften.

Mix together the cornstarch and water, then add to the apples. Drizzle in the slurry while mixing the apples and cook for 30 seconds. Stir in the vanilla last. Remove the apple pie filling to a plate or bowl and allow to cool to room temperature.

In another bowl, mix together the cream cheese, sugar, and vanilla with a rubber spatula until smooth.

Unfold both sheets of puff pastry and use a rolling pin to roll out the dough to 1/16” thick, keeping it in either a square or rectangle.

Use a large sharp knife or pizza cutter to cut each sheet of pastry into 1” strips. You’ll need 9-10 strips per sheet.

On the parchment lined baking sheet, twist one strip of pastry into a corkscrew. Start with the edge of one piece and coil the corkscrew around itself. Wet the edge of the first strip then press the second strip onto the edge to seal. Twist the second piece into a corkscrew then continue coiling it around. Repeat with the third strip, and tuck the end under the pastry nest.

Gently press down in the center of the nest (about 2 inches wide) to seal and be sure no filling will spill out when added. Repeat with the remaining strips (making 6 nests).

Whisk the egg with a small splash of water, then brush the egg wash all over each pastry nest, including the centers.

Add 1 tablespoon of cream cheese mixture to the center of each, then top with a spoonful of apple pie filling.