Preheat your oven to 400°F (200°C).
In a mixing bowl, combine diced apples, caramel sauce, lemon juice, and cinnamon.
Roll out one pie crust on a clean surface and cut it into squares, roughly 4x4 inches in size.
Place a spoonful of the apple filling in the center of each square.
Fold the corners of each square over the filling and crimp to seal tightly.
Brush the tops with beaten egg and sprinkle with coarse sugar if desired.
Place the pie bombs on a baking sheet lined with parchment paper.
Bake in the preheated oven for 20-25 minutes until golden brown.
Allow the bombs to cool slightly before serving.
