To make the filling, combine the apples, brown sugar, cinnamon, and vanilla in a small sauce pan. Cook on medium heat until juices start to form, about 3 minutes. Make a slurry by whisking together the cider and cornstarch. Stir this into the pan, turn the heat up to high, and cook, stirring constantly, until mixture is thickened, about 3 minutes longer. Remove from heat and set aside.

For the dough, cut the butter into cubes then use a pastry cutter to work it into the flour. Continue to cut in the butter until it's in small pea-sized lumps. In a small mixing bowl, beat the egg yolks and salt together. Slowly pour in hot milk, stirring constantly. Pour the milk mixture into the flour mixture. Stir together until a dough begins to form. Turn the dough out onto parchment or wax paper, and knead it until it smooths out, about 1 minute.

Divide the dough into 6 equal sized pieces and roll them each into a ball. Use a rolling pin to roll them out to about 6 inch circles. Fill each circle with 2 Tablespoons of apple mixture. Fold the dough in half over the filling and pinch the edges together to seal. You can flute the edges or use a fork to crimp them. If the edges aren't sealing properly, wet them with a little water.

Heat the oil in a deep sauce pan to 350 degrees. You can test to see if the oil is ready by sticking a wooden spoon into the center of the pot. If small bubbles form around the handle, you're ready to go.

Place the pies in the hot oil one at a time and fry until golden brown on both sides, about 2-3 minutes per side. Remove from the oil with a slotted spoon and place on paper towels to dry.

Repeat with remaining pies.

While the pies fry, make the glaze. In a small bowl, whisk together the powdered sugar, vanilla, and milk until smooth. It's best to glaze the pies while they're still warm. I use a pastry brush to brush the glaze on one side then let it dry, flip them over, and glaze the other side. You can put two coats of glaze on for extra sweetness if you like, but wait for the glaze to harden in between coats.

Pies can be stored uncovered for 2-3 days. If you want the glaze to remain hard, do not place the pies in a plastic bag or sealed container. Just leave them on a wire rack or pan.