Apple Filling: In a medium saucepan, combine the apples, sugar, 1/3 cup of water, cornstarch, cinnamon and nutmeg. Bring the mixture to a boil over medium heat, stirring periodically. Cook for 5 minutes, the mixture will thicken. Remove from heat and stir in the butter. Set aside to cool the apples for 10 minutes or so to thicken. (This can be done in advance and chilled in the fridge for a timesaver.)
Preheat the oven to 375°F. Line a large sheet pan or two standard sheet pans with parchment paper. Set aside.
Thaw the puff pastry per the package instructions. On a lightly floured surface, unfold puff pastry sheets, rolling with a lightly floured rolling pin just until smooth and roughly 12x14-inch rectangle.
Use a pizza wheel, sharp knife or a pastry cutter to cut each sheet into 12 equal strips 3/4-1 inch in width. Take each strip and lightly twist them
Pinch the ends of 2 strips together to create one long strip then twist. Wind the twisted strip into a spiral and place circles onto the pan. Repeat with the remaining strips, pressing two strips together, then twist and form into a circle.
Use your fingertips or the bottom of a glass to lightly push down the middle of each pastry, creating a little well.
Assemble: Spoon the cooked apples into the center of each pastry. Whisk the egg with 1 tablespoon of water. Brush the egg mixture onto all of the exposed puff pastry.
Bake for 15-17 minutes. The pastry should be golden brown and the apples in the middle with be bubbling.
Cool on the pan for 5 minutes then use a spatula to move the danishes to a wire rack to cool completely.
Glaze: In a small bowl whisk together powdered sugar and heavy cream. Drizzle over each pastry and enjoy!