Combine apples, butter, brown sugar, and cinnamon in a non-stick 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 the dough into rectangles small enough so that 2 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.
Spray the basket of an air fryer with cooking spray. Brush the tops of 2 pies with grapeseed oil and transfer pies to the air fryer basket using a spatula.
Insert basket and set the temperature to 385 degrees F (195 degrees C). Bake until golden brown, about 8 minutes. Remove pies from the basket and repeat with the remaining 2 pies.
Mix together powdered sugar and milk in a small bowl. Brush glaze on warm pies and allow to dry. Serve pies warm or at room temperature.
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