In a skillet, melt the butter over medium heat. Add the sugar, salt, vanilla extract, and ground cinnamon. Mix well.
Add the diced apples to the skillet and mix. Cook for about 10 minutes, stirring occasionally until the apples are soft and the sauce has caramelized.
Remove the skillet from the heat and allow the apple mixture to cool down completely. Place in a bowl and refrigerate to speed up the process.
Preheat your oven to 200°C (395°F) and line a baking sheet with parchment paper.
On a lightly floured surface, cut each puff pastry sheet into four even squares (about 5 ½“ by 5 ½“ or 14cm by 14cm each).
Place about 2 tablespoons of the prepared apple filling in the center of each square.
Beat the small egg and 1 tablespoon of water together to create an egg wash. Brush the edges of each pastry square with the egg wash.
Fold each square diagonally to create a triangle, enclosing the apple filling. Use a fork to crimp and seal the edges securely.
Brush the tops of the turnovers with the remaining egg wash, and make a couple of small slits on the tops to allow steam to escape while baking.
Optionally, you can sprinkle some sugar over the turnovers before baking. Place the turnovers on the prepared baking sheet.
Bake in the preheated oven for 20-23 minutes, or until the turnovers are puffy and golden.
Once baked, remove them from the oven and allow them to cool down slightly until they are warm to the touch.