In a medium saucepan set over medium-high heat, combine the diced apples, lemon juice, cinnamon and sugar.
In a small bowl, whisk together the cornstarch with 1/3 cup water then add it to the apple mixture. Stir together the mixture then bring it to a boil and cover it. Reduce it to a simmer and cook the mixture until the apples have softened slightly and the mixture has thickened, about 5 minutes.
Remove the apple mixture from the heat, stir in the vanilla extract then transfer the mixture to a bowl to cool completely.
Fill a small dish with water and line a baking sheet with paper towels.
Once the apple mixture has cooled completely, arrange the egg roll wrappers on a dry work surface then using a slotted spoon, portion about 1/4 cup of the apple mixture in the lower third of each wrapper. Beginning at the bottom of the wrapper, roll the egg roll up while folding the edges inward. Wet your finger in the water and run it around the edges then seal the egg rolls shut.
Add at least 4 inches of oil to a large, heavy-bottomed stock pot set over medium-high heat and attach a deep-fry thermometer to the side. Once the oil reaches 360°F, add 3 to 4 egg rolls and fry, turning occasionally, until golden brown. Remove the egg rolls from the oil and transfer them onto the baking sheet. Repeat the frying process with the remaining egg rolls, returning the oil to 360°F between batches.
Serve immediately with whipped cream or caramel sauce for dipping.
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