Filling
Mix cornstarch and water together until corn starch dissolves.
Place apple pie filling and cornstarch mixture in bowl of food processor and process until the apples are chopped into small pieces.
Set aside.
Egg Wash
Beat egg yolk and cream together until smooth.
Set aside.
Pastry
Combine flour, baking powder, and sugar in the bowl of a food processor.
Pulse to combine.
Add butter, a bit at a time, pulsing after each addition.
Turn out onto plastic wrap and form into a disc. Do NOT work the dough!
Add egg and pulse a few times to combine.
Add heavy cream and pulse until mixture comes together.
Wrap and refrigerate for 30 minutes.
On a floured surface, roll dough out to a thickness of about 1/4".
Cut dough into 3"x4-1/2" rectangles.
Line a baking sheet with parchment paper and place half of the rectangles on the the pan.
Spoon one tablespoon of apple pie filling onto the center of each rectangle, leaving a 1/2" border all the way around.
Lightly brush edges with egg wash.
Top with remaining rectangles.
Press the pastry together around the edges to seal.
Use a fork to ensure that the edges are sealed.
Poke holes in the top of each pastry with a fork.
Place in freezer for 20 minutes.
While pastries are resting, preheat oven to 350 degrees.
Remove pastries from freezer and bake until light brown, about 30 minutes.
Remove from oven and place pastries on cooling racks.
Frosting
In a small bowl, combine powdered sugar, milk, and vanilla.
Beat until smooth.