01 - Set oven to 400°F (200°C) and line a baking sheet with parchment paper.
02 - In a mixing bowl, combine diced apples, granulated sugar, brown sugar, ground cinnamon, ground nutmeg, and lemon juice. Toss thoroughly to ensure even coating; set aside.
03 - Dust your work surface with flour, then roll out puff pastry sheet to a 12-inch square.
04 - Slice the pastry into twenty-four squares using a sharp knife or pizza wheel. Spoon a small amount of apple filling onto the center of each square, then place half a caramel candy atop the apple filling.
05 - Fold each corner of the pastry square towards the center and gently press to seal. Transfer each bite-sized parcel onto the prepared baking sheet, spacing them apart.
06 - Beat egg with milk to create an egg wash. Brush lightly over each pastry parcel and sprinkle with coarse sugar if desired.
07 - Bake in the preheated oven for 16 to 18 minutes, until the pastry is golden and crisp.
08 - Allow to cool slightly on the pan. Serve warm for best flavor and texture.