Preheat oven to 375°F. Line a baking sheet with parchment paper. Stir together apples, granulated sugar, flour, lemon juice, cinnamon, and kosher salt in a bowl until combined.

Unroll 1 of the piecrusts on a lightly floured surface, and cut out 8 circles using a 3-inch cookie cutter. (Discard dough scraps, or reserve for another use.) Repeat process with remaining 3 piecrusts.

Arrange 16 of the dough rounds on prepared baking sheet. Spoon 1 heaping tablespoon of the apple filling mixture onto center of each of the 16 rounds, leaving a 1/4-inch border around filling. (Reserve remaining filling for another use.) Sprinkle chopped caramel candies evenly onto filling mounds, and sprinkle with sea salt.

Whisk together egg and 1 tablespoon water in a small bowl, and brush some of the mixture over edges of the 16 filled dough rounds. Top filled dough rounds with remaining 16 dough rounds. Crimp together top and bottom dough-round edges using a fork, sealing each pie. Brush pie tops with remaining egg mixture. Cut small slits (about 1/2 inch long) into each pie top. Sprinkle pies with sanding sugar, if desired.

Bake in preheated oven until pies are golden brown, 15 to 20 minutes. Let cool completely on baking sheet, about 30 minutes.