Combine apples, brown sugar, butter, and cinnamon in a nonstick skillet. Cook over medium heat until apples have softened, about 5 minutes.

Dissolve cornstarch in cold water. Stir into apple mixture and cook until sauce thickens, about 1 minute. Remove apple pie filling from heat and set aside to cool while you prepare the crust.

Unroll pie crust on a lightly floured surface and roll out slightly to smooth the surface of the dough. Cut dough into rectangles small enough so that two can fit in your air fryer at one time. Repeat with remaining crust until you have 8 equal rectangles, re-rolling some of the scraps of dough if needed.

Wet the outer edges of 4 rectangles with water and place some apple filling in the center, about 1/2-inch from the edges. Roll out the remaining 4 rectangles so that they are slightly larger than the filled ones. Place these rectangles on top of the filling; crimp the edges with a fork to seal. Cut 4 small slits in the tops of the pies.

Preheat an air fryer to 385 degrees F (195 degrees C) according to manufacturer's instructions.

Spray the basket of an air fryer with cooking spray. Brush the tops of 2 pies with oil and transfer pies to the air fryer basket using a spatula.

Insert basket and bake in the preheated air fryer until golden brown, about 8 minutes. Remove pies from the basket and repeat with the remaining 2 pies.

Mix together confectioners' sugar and milk in a small bowl. Brush glaze on warm pies and allow to dry. Serve pies warm or at room temperature.