To make the filling - start peeling and dicing the apples. Place them in a small saucepan over low heat. Add the water, sugar, maple syrup, and cinnamon. Stir and cook until the apples soften. It should take about 10 minutes.
Allow the puff pastry sheet to thaw partially. Cut it into 4 squares. Brush the edges with the egg.
Place the softened apples in the center of each square, and fold the pastry over creating a triangle. Seal the edges well.
Brush the top of the turnovers with the egg, and place in the air fryer (cook in batches if needed). Air fry at 350F (175C) for 12-15 minutes- until golden brown.