Preheat your oven to 375°F.
Line a baking sheet with parchment paper for easy cleanup.
Spoon apple pie filling into a bowl.
Add cinnamon and stir until combined.
Roll out empanada wrappers and place a spoonful of the apple mixture in the center of each wrapper.
Add a caramel piece on top.
Brush the edges of the empanada wrapper lightly with the beaten egg.
Fold the wrapper over and use a fork to crimp the edges.
Arrange the empanadas on the prepared baking sheet.
Brush the tops with the beaten egg.
Bake in the oven for about 20-25 minutes or until golden brown.
Cool slightly before serving to avoid burns from the hot caramel.