Peel, seed and dice the apples (small diced). Add the butter to a medium saucepan over medium heat. Once melted add in the apples, brown sugar, cinnamon, nutmeg and 3 tablespoons of water. Stir to combine.
Cover and cook for 4-6 minutes, stirring occasionally. Once the apples are tender remove the lid and reduce the heat to medium low.
In a small bowl combine the cornstarch and 2 tablespoons of water. Stir to fully combine. Pour this mixture into the pan and stir well. Cook for 1 minute or until the mixture has thickened.
Take the mixture off the heat and stir in ½ teaspoon of vanilla extract. Pour the filling onto a plate and spread it out to cool. Ensure the mixture is fully cooled before putting it on the puff pastry.
Preheat an oven to 400°F and line a baking sheet with parchment paper. On a lightly floured surface, unfold one sheet of puff pastry. Cut it into 6 equally sized rectangles.
Fill each piece with approximately 2 tablespoons of the apple filling. Fold the corners into the centers. Repeat with the remaining sheet of puff pastry.
In a small bowl whisk together the egg and 1 tablespoon of water. Brush with the eggwash, and bake for 16-17 minutes.
In another small bowl whisk together the powdered sugar, heavy cream, ½ teaspoon of vanilla extract and a pinch of cinnamon. Drizzle over the danishes. Enjoy!