Make the Filling

1. Combine the diced apples, brown sugar, cinnamon, and vanilla in a small saucepan over medium heat. Cook for about 3 minutes until the apples release their juices.
2. In a small bowl, mix the cider and cornstarch to create a slurry. Stir the slurry into the apple mixture and increase the heat to high. Cook, stirring constantly, until the filling thickens, about 3 minutes. Remove from heat and let cool.

Prepare the Dough

1. In a large bowl, combine the flour and cubed butter. Use a pastry cutter to cut the butter into the flour until it resembles small pea-sized crumbs.
2. In a separate small bowl, whisk together the egg yolks and salt. Slowly pour in the hot milk while stirring. Gradually pour the milk mixture into the flour mixture, stirring until the dough begins to form.
3. Turn the dough out onto a piece of parchment paper and knead until smooth, about 1 minute. Divide the dough into 6 equal portions and roll each into a ball.

Assemble the Pies

1. Roll each dough ball into a 6-inch circle using a rolling pin. Place 2 tablespoons of the cooled apple filling in the center of each circle. Fold the dough over the filling to form a half-moon shape. Pinch the edges to seal, using a little water if needed. Crimp with a fork for decoration.

Fry the Pies

1. Heat 2-3 inches of oil in a deep saucepan to 350°F (175°C). Test the oil by dipping the handle of a wooden spoon; bubbles should form around it.
2. Fry the pies one at a time, cooking for 2-3 minutes per side until golden brown. Remove from the oil with a slotted spoon and drain on paper towels.

Make the Glaze

1. In a small bowl, whisk together the powdered sugar, vanilla, and milk until smooth. Brush the glaze onto one side of each warm pie using a pastry brush. Let the glaze harden, then flip and glaze the other side.