Preheat the oven to 400°F. Line two baking sheets with parchment paper or Silpats.
In a large bowl, stir together the apples, brown sugar, cinnamon and lemon juice.
Unfold the puff pastry sheets onto a lightly floured work surface. Using a rolling pin, gently roll over the pastry to seal any perforations then cut each sheet into 4 squares.
Using a slotted spoon, scoop a portion of the apple mixture into the center of each puff pastry square then fold the pastry across diagonally to form triangles. Using a fork, crimp together the edges then transfer the turnovers to the prepared baking sheets, spacing them at least 2 inches apart.
Cut three small slits in the tops of each turnover then brush them with the egg. Sprinkle the turnovers with the sanding sugar (optional).
Bake the turnovers for 17 to 20 minutes or until they’re golden brown and puffed. Transfers the turnovers to a rack to cool then serve warm or at room temperature.