Preheat oven to 375 F. Line two large baking sheets with parchment paper.
Spoon apple pie filling onto the center of a large cutting board and use a knife to coarsely chop the filling, so that the apple pieces are about 1/2-inch in size.
Roll out one of the crusts on the counter or a large cutting board.
Dot the crust with heaping teaspoonfuls of the filling, spaced a couple inches apart. You should be able to fit around 10 cookies onto the pie crust.
Use your fingers or a pastry brush to moisten the spaces between the fillings with water. This will help the second layer of dough stick.
Gently place the second pie crust over the first. Press down between the dots of filling, starting in the middle and working outward, to seal.
Use a cookie or biscuit cutter, around 2-3 inches in size, to cut out the mini pies. Don't worry if they don't align exactly.
Use the tines of a fork to firmly seal up the edges of the mini pies. Trim and even the edges, if necessary.
Whisk together the egg with two tablespoons of water. Brush the top of the pies with the mixture and sprinkle with coarse sugar.
Cut a small x into the center of each pie.
Transfer cookies to baking sheets, spacing an inch or two apart. Bake until golden brown, 15-18 minutes.
Cool slightly or completely before serving warm or at room temperature.