Peel, core and slice apples. In medium saucepan over low heat, cook apples with sugar, cornstarch, lemon juice and cinnamon, stirring frequently, until apples are tender. Refrigerate until cool.
Thaw pastry sheets at room temperature 20 minutes.
Preheat oven to 400ºF. Unfold pastry on lightly floured surface. Roll each sheet into a 12-inch square and cut into four 6-inch squares. Place 1/4 cup apple mixture in center of each square. Brush edges with water. Fold to form triangles, seal edges firmly with a fork. Place on 2 baking sheets. Bake 25 minutes or until golden. Cool on wire rack.
Sugar drizzle: In small bowl, mix together 1/2 cup confectioners sugar and 1 tablespoon water. With spoon, drizzle on turnover, allow to set before serving