Prepare the filling:
In a medium skillet, melt the butter over medium heat. Add the diced apples, brown sugar, cinnamon, nutmeg (if using), and lemon juice. Cook for 5-7 minutes, stirring occasionally, until the apples are tender and the mixture has thickened into a syrupy consistency.
Stir in the caramel sauce and cook for another 2 minutes until the apples are fully coated. Remove from heat and let the filling cool completely.

Prepare the empanadas:
If using refrigerated pie crusts, roll them out slightly on a floured surface to smooth out creases. Using a round cutter (about 4-5 inches in diameter), cut out circles of dough. You should get about 8-10 circles depending on the size of the dough.

Fill the empanadas:
Place a tablespoon or so of the cooled apple filling in the center of each dough circle. Be careful not to overfill. Fold the dough over to create a half-moon shape and pinch the edges together to seal. You can use a fork to press down on the edges to crimp and ensure they’re securely sealed.

Make the egg wash:
In a small bowl, whisk together the egg and water. Brush the tops of the empanadas with the egg wash to give them a golden, shiny finish when fried.

Fry the empanadas:
Heat about 1-2 inches of vegetable oil in a deep skillet or pan over medium-high heat. Once the oil is hot (around 350°F or 175°C), carefully lower the empanadas into the oil, a few at a time, being sure not to overcrowd the pan. Fry for 2-3 minutes on each side, or until golden brown and crispy.

Drain and coat with cinnamon sugar:
Using tongs or a slotted spoon, remove the empanadas from the oil and place them on a paper towel-lined plate to drain excess oil.
In a shallow bowl, mix together the granulated sugar and cinnamon. While the empanadas are still warm, roll them in the cinnamon sugar mixture to coat.

Serve:
Serve the caramel apple empanadas warm, with extra caramel sauce or whipped cream on the side if desired. Enjoy!