Properly thaw puff pastry by letting sit at room temperature for 2 hours, or letting it sit overnight in the refrigerator.
Once ready to make the turnovers, preheat oven to 400 degrees F.
Line baking sheet with parchment paper.
In a medium saucepan, combine apples, sugar, vanilla, cornstarch, cinnamon, nutmeg, and salt.
Cook over medium heat for 5 minutes, stirring occasionally.
Cut puff pastry into 4 squares.
Spoon apple mixture evenly among puff pastry squares, in the middle of the squares.
Fold one corner over diagonally, to make a triangle.
Using a fork, press edges together.
Brush each triangle with egg.
Combine cinnamon and sugar and sprinkle over each turnover.
Cut a slit in each turnover for a steam vent.
Bake in preheated oven for 20 minutes.
Let cool for 5 minutes, then enjoy!