Peel, core, and dice the apples into small cubes. Combine apples, brown sugar, cinnamon, and vanilla in a saucepan, and cook over medium heat until juices start to form, about 3 minutes.

In a small bowl, combine apple cider (or apple juice) and cornstarch. Pour into the saucepan, increase heat to high, and cook for an additional 3 minutes, stirring constantly until the mixture thickens. Remove from heat and set aside.

Sift the flour into a large mixing bowl. Cut the cold butter into cubes and work it into the flour until the mixture resembles tiny lumps.

In a separate bowl, combine egg yolks and salt. Microwave the milk at 30-second intervals until steaming hot. Gradually pour hot milk into the egg mixture while stirring constantly.

Pour the milk and egg mixture into the flour mixture and stir until a dough forms. Knead the dough for about 1 minute until smooth.

Divide the dough into 6 equal pieces and roll each piece into a ball. Roll each ball out into circles.

Fill each circle with 2 tablespoons of apple pie filling, fold the dough in half, and pinch the edges to seal. Trim excess dough if necessary and crimp the edges with a fork.

Heat oil in a skillet or deep fryer to 350 degrees. Fry pies one at a time for about 2 minutes per side or until light golden brown. Place fried pies on a paper towel to dry.

To make the glaze, whisk together powdered sugar, vanilla, and milk until smooth. Glaze the warm pies and let the glaze set for a few minutes before serving.