Prep the apples. Peel, core, and finely dice the apples.
Toss with lemon juice, brown sugar, cinnamon, nutmeg, and cornstarch. Set aside for 5 minutes so the juices start to thicken.
Make quick sautéed apples (optional but great). In a small skillet over medium heat, cook the apple mixture for 3–4 minutes until slightly softened and glossy. This step prevents soggy rolls and keeps the filling neatly inside.
If making from-scratch dough: Warm the milk to about 110°F.
Stir in yeast and sugar; let stand 5–10 minutes until foamy. Mix in egg and melted butter. Add flour and salt and knead 5–7 minutes until smooth.
Cover and let rise 1 hour, or until doubled. If using store-bought dough, skip this step.
Roll out the dough. On a lightly floured surface, roll your dough into a rectangle about 10x14 inches. Brush with melted butter, leaving a 1/2-inch border on one long edge for sealing.
Add the filling. Spread the apple mixture evenly over the buttered surface.
Light pressure helps it adhere without tearing the dough.
Roll and seal. Starting from the long side opposite the border, roll the dough into a tight log. Pinch the seam to seal. Place seam-side down.
Slice. Use a sharp knife or dental floss (unflavored) to cut 8–10 even rolls.
Aim for about 1 to 1 1/2 inches thick.
Preheat the air fryer. Set it to 320°F (160°C) for 3 minutes. Line the basket with parchment cut to fit, or lightly oil it. Do not use loose paper while preheating.
Arrange the rolls. Place rolls in the basket with a little space between them; they will expand. Work in batches if needed.
Lightly brush tops with a bit of melted butter for color.
Air fry. Cook at 320°F for 8–10 minutes. Check at 7 minutes. If the tops brown too quickly, tent loosely with a small piece of foil.
Rolls are done when puffed and the centers are set.
Rest briefly. Let rolls sit in the basket for 3 minutes to finish setting. This also makes them easier to lift out without tearing.
Make the glaze. Beat cream cheese until smooth. Add powdered sugar, vanilla, and 1 tablespoon milk; whisk until glossy, adding more milk as needed for a pourable consistency.
Glaze and serve. Spoon or drizzle the glaze over warm rolls.
For extra shine, glaze lightly, let it set for a minute, then add a second drizzle.