Peel, core, and dice the apples into small cubes.

In a saucepan, combine the diced apples, brown sugar, cinnamon, and vanilla. Cook over medium heat for about 3 minutes, until juices begin to form.

In a small bowl, mix the apple cider with cornstarch. Pour this mix into the saucepan. Increase the heat to high and cook for an additional 3 minutes, stirring constantly until the filling thickens.

Remove from heat and set aside.

In a large mixing bowl, sift the self-rising flour. Cut the cold butter into small cubes and use a pastry cutter to mix it into the flour until you have small lumps.

In a separate bowl, mix the egg yolks and salt. Heat the milk in the microwave until it's steaming hot, then slowly pour it into the egg mixture while stirring.

Combine the milk and egg mix with the flour mixture, stirring until a dough forms.

Knead the dough on parchment paper for about 1 minute until smooth.

Divide the dough into 6 equal pieces and roll each into a ball. Roll each ball into a circle.

Place about 2 tablespoons of apple filling onto each circle. Fold the dough in half and pinch the edges to seal.

Heat the oil in a deep fryer or saucepan to 350 degrees. Fry each pie for about 2 minutes on each side or until they turn a light golden brown.

Place fried pies on paper towels to drain excess oil.

While frying, prepare the glaze by whisking together powdered sugar, vanilla, and milk until smooth. Apply the glaze to the pies while they are still warm.

Let the glaze set for a few minutes before serving.