Prepare the Dough
In a bowl, combine the lukewarm milk, egg, vanilla extract, and melted butter.
In a separate large bowl, whisk together the flour, salt, yeast, and sugar.
Make a well in the center of the dry ingredients and pour in the wet ingredients.
Mix until a soft, sticky dough forms. The dough should remain slightly sticky for soft and gooey rolls.
Cover the bowl with plastic wrap or a clean towel and let the dough rise for 1 hour, or until doubled in size.
Make the Apple Pie Filling
Peel, core, and dice the apples into small cubes.
Add the apples, butter, brown sugar, cinnamon, cornstarch, salt, and water to a saucepan.
Cook over medium heat for 10–15 minutes, stirring occasionally, until the apples soften and the mixture thickens.
Allow the filling to cool completely. Reserve ¼ of the filling for topping the baked rolls.
Assemble the Cinnamon Rolls
Lightly flour a work surface and roll the dough into a rectangle approximately 40 x 30 cm (16 x 12 inches).
Spread the cooled apple pie filling evenly over the dough.
Starting from the long edge, tightly roll the dough into a log.
Slice into 10 equal rolls (about 3-finger widths thick).
Place the rolls in a parchment-lined baking dish, leaving a small gap between each roll.
Final Rise and Bake
Cover and let the rolls rise for 30 minutes in a warm place.
Preheat the oven to 180°C (350°F).
Bake for 20–30 minutes, or until the tops are lightly golden brown.
Spoon the reserved apple pie filling over the warm rolls before serving.