Preheat your air fryer to 350°F (175°C).
Cut the puff pastry sheet into 4 equal squares.
Spoon about 1-2 tablespoons of apple pie filling into the center of each square.
Fold each square into a triangle and press the edges with a fork to seal.
Brush each turnover with the beaten egg and sprinkle with cinnamon sugar if desired.
Place in the air fryer basket and cook for 10-12 minutes until golden brown.
Meanwhile, mix powdered sugar, milk, and vanilla extract to make the glaze.
Once turnovers are slightly cooled, drizzle with the glaze and serve.