In a medium bowl, combine apple pie filling, the vanilla extract, 1 tbsp of the caramel sauce, and the apple pie spice.
Set aside. Roll out thawed pie crust on a flat surface – parchment paper works great.
Using a biscuit cutter, cookie-cutter, or even a small drinking glass, cut as many circles as you can that will fit into the dough. (I was able to get 12 circles out of one pie crust.)
In a bowl, combine 1 egg and 1 Tbsp of water to make an egg wash.
Using a pastry brush or the back of a spoon, paint each circle (front & back) with the egg wash.
Lay each circle back down on the parchment paper.
Place a Tbsp of the apple mixture into the center of each circle, one at a time – until you’ve placed it on six of the twelve circles.
Leave the other six empty (those will be the “tops”).
Take one of the top circles and place it right on top of an apple-filled circle.
Seal the two circles together by running your fingers around the edges.
Use a fork and gently press down on the edges you just sealed with your fingers. This will helpfully seal them and leave a pretty pattern.
Repeat until you’ve used all 12 circles to make 6 dumplings total.
Preheat the air fryer to 350 degrees F, air fryer setting. Place 4-6 dumplings in the basket (depending on the size).
Air fry for about five minutes or until dumplings is a nice golden brown color.
Remove from heat and allow to cool.
Optional Garnish: Sprinkle with cinnamon & sugar, then drizzle with the remaining caramel sauce!