Make the Pie Crust: In a large bowl, whisk together the flour and salt.
Add the cold butter cubes to the flour mixture. Use a pastry blender or your fingertips to cut the butter into the flour until the mixture resembles coarse crumbs with some pea-sized pieces of butter remaining.
Gradually add the ice water, one tablespoon at a time, mixing lightly after each addition, until the dough just comes together. Be careful not to overmix!
Divide the dough in half, flatten each half into a disc, wrap in plastic wrap, and refrigerate for at least 30 minutes (or up to 2 hours).
Prepare the Apple Filling: In a large bowl, combine the diced apples, granulated sugar, brown sugar, flour, cinnamon, nutmeg, and lemon juice. Toss gently to coat.
Dot the apple mixture with the butter pieces.
Make the Caramel Sauce: In a small microwave-safe bowl, combine the unwrapped caramels and milk or heavy cream.
Microwave in 30-second intervals, stirring in between, until the caramel is melted and smooth. Watch it carefully so it doesn't burn! Set aside to cool slightly.
Assemble the Pie Bombs: Preheat your oven to 375°F (190°C). Line a baking sheet with parchment paper.
On a lightly floured surface, roll out one disc of pie dough to about 1/8-inch thickness.
Use a 4-inch round cookie cutter (or a sharp knife) to cut out circles of dough.
Place half of the dough circles on the prepared baking sheet.
Spoon a heaping tablespoon of the apple filling onto the center of each dough circle, leaving a small border around the edge.
Place a spoonful of the melted caramel on top of the apple filling.
Roll out the second disc of pie dough and cut out circles as before.
Place the remaining dough circles on top of the filling, gently pressing the edges to seal.
Crimp the edges with a fork to create a decorative seal and prevent the filling from leaking.
Egg Wash and Bake: In a small bowl, whisk together the egg and milk or water to create an egg wash.
Brush the tops of the pie bombs with the egg wash.
Sprinkle generously with turbinado sugar or coarse sugar.
Bake for 20-25 minutes, or until the pie bombs are golden brown.
Let the pie bombs cool on the baking sheet for a few minutes before transferring them to a wire rack to cool completely.