In a large mixing bowl, combine flour, yeast, sugar, and salt. Cut in cold butter until resembling coarse crumbs. Gradually add milk to form a cohesive dough. Shape into a ball, wrap in plastic, and chill for at least 1 hour.

Preheat your oven to 375°F (190°C). Roll out the chilled dough into a rectangle about ¼ inch thick.

Spread the apple pie filling down the center of the rolled-out dough, leaving about 2 inches on each side. Sprinkle with cinnamon and nutmeg if desired.

Gently fold the sides of the dough over the apple filling, creating a horseshoe shape. Pinch the edges to seal.

Brush the surface with an egg wash made from one beaten egg and a tablespoon of water. Bake for 25-30 minutes until golden brown and bubbling.

While baking, whisk together powdered sugar and vanilla. Adjust consistency with milk if needed.

Once baked, cool for 10 minutes and drizzle with glaze. Serve warm.