Cut the apples horizontally and using either a knife for a small round cookie cutter, cut the middle of the apple slices to make rings.
Cut the puff pastry sheets into thin strips and begin wrapping the rings.
Once done wrapping the strips of dough, fold the edges of the puff pastry underneath so they stay in place while baking.
Place the baking tray in the refrigerator and allow the puff pastry to chill for at least 30 minutes.
Add the egg and a tablespoon of water to a bowl and stir. Brush the egg wash on top of the apples making sure the puff pastry is completely covered.
Sprinkle the tops with cinnamon sugar.
Place the apples on a parchment paper lined baking sheet and bake for 15 minutes, or until golden brown.
Let them cool until warm and enjoy!
Notes
Use a small circle cookie cutter (about 1 inch) to core the apple slices to make the rings, or you can use a knife.
Make sure you're working with cold puff pastry, so the layers puff up when it bakes. If you find the puff pastry getting too warm while you're putting the dessert together, quickly place the puff pastry dough back in the refrigerator for a few minutes to re-chill the pastry.
These would be great served with vanilla ice cream.