In a medium bowl, combine diced apples, brown sugar, lemon juice, cornstarch, cinnamon, nutmeg and salt. Gently toss or stir to combine.
In a medium saucepan, add apple mixture and stir constantly over medium heat for about 5 minutes. Remove from heat and let cool - sauce will thicken a bit.
Preheat oven to 400° F. Prepare two baking sheets with parchment paper or a silicone baking mat and set aside.
Unroll puff pastry sheets onto a lightly floured surface and cut each into four squares (as even as possible).
Spoon two tablespoons of apple mixture onto the center of each square (I like to use a small cookie scoop). Fold each square in half diagonally and press down around the edges with a fork to seal.
In a small bowl, use a whisk to beat egg and water together to make your egg wash. Brush on top and edges of each pastry.
Sprinkle the tops with some sparkling sugar.
Place four pastries on each baking sheet. Bake for 15-20 minutes until each pastry is puffed and golden brown.
Let cool on pan for a few minutes, then transfer to a wire rack and let cool 5-10 more minutes. Try to resist the urge to eat them immediately.