For the Apple Cinnamon Filling:
In a medium saucepan, bring the water, cornstarch, sugar, cinnamon, and lemon juice to a boil over low heat, stirring constantly until the sauce thickens, about 3-4 minutes.
Add the chopped apples and let simmer for 8-10 minutes, stirring occasionally until the apples are tender. Set aside.
For the Cream Cheese Mixture:
In a medium bowl, beat the cream cheese until fluffy, about 2-3 minutes.
Add the sugar, lemon juice, and vanilla, and beat for another 2 minutes until smooth.
Assembling the Empanadas:
Lay the empanada dough discs flat. Place 1 tablespoon of the cream cheese mixture in the center of each disc, followed by 1 tablespoon of the apple cinnamon filling.
Moisten the edges of the dough with water, fold the dough in half, and crimp the edges with a fork to seal.
Frying the Empanadas:
Heat the vegetable oil in a cast iron skillet or frying pan to 375°F.
Working in batches, fry the empanadas until golden brown on both sides, about 2-3 minutes per side.
Remove the empanadas from the pan and place them on a plate lined with paper towels to drain.
For the Cinnamon Sugar Coating:
In a small bowl, mix the cinnamon and sugar together.
While the empanadas are still warm, dip them in the cinnamon sugar mixture, coating both sides evenly.
Serving:
Place the empanadas on a serving plate and drizzle each one with caramel sauce before serving.