Cream together cream cheese and butter until smooth and completely incorporated. Add flour and salt then mix until a dough is formed. Bring it together into a ball, then flatten into a small disk. Wrap in plastic wrap and refrigerator for at least a half hour.
Meanwhile cook apples and cajeta over medium heat until the apples are softened. Chill until ready to use.
Cut dough into two parts, then roll the first part out to about 1/8-inch thick. Cut into 4 inch circles and place a rounded Tablespoon of chilled apple mixture in the center. Run a wet finger around the edge of the dough and then fold the dough in half. Crimp the edges to seal and place on a greased or lined baking sheet. Place baking sheet in refrigerator for at least 20 minutes.
Preheat your oven to 375°F. Beat together the egg with a couple of teaspoons of water. Brush over chilled empanadas and then sprinkle with cinnamon sugar. Bake for about 15 minutes or until golden and crispy.
Enjoy with a little extra cajeta and a scoop of vanilla ice cream!