Make the Dough: In a medium bowl, whisk together the flour, salt, and baking powder. Cut in the shortening using a pastry cutter or fork until the mixture resembles coarse crumbs. Pour in the milk gradually, stirring until a soft dough forms. The dough should come together easily but not be sticky.
Rest the Dough: Wrap the dough in plastic wrap or cover with a towel and let it rest for 10–15 minutes while you prepare the filling. This helps the dough relax, making it easier to roll out later.
Prepare the Apple Filling: In a small saucepan, combine the chopped apples, brown sugar, cinnamon, and vanilla. Cook over medium heat until the apples begin to soften and release their juices, about 5–7 minutes. Stir in the cornstarch slurry (cornstarch mixed with water) to thicken the filling. Once the mixture is glossy and thickened, remove from heat and let it cool slightly.
Roll and Cut the Dough: On a lightly floured surface, roll out the dough to about ⅛ inch thickness. Cut out 5–6 inch circles using a biscuit cutter or the rim of a bowl. Gather and re-roll scraps as needed until you have 7–8 circles total.
Fill and Seal: Spoon about 2 tablespoons of the apple filling into the center of each circle. Fold the dough over to form a half-moon shape and press the edges together firmly. Use a fork to crimp the edges for a tight seal — this helps prevent filling from leaking during frying.
Heat the Oil: Pour oil into a cast iron skillet to about ½ inch depth and heat over medium heat until hot but not smoking (around 350°F if using a thermometer). Test by dropping in a small piece of dough — it should sizzle immediately.
Fry the Pies: Fry the apple pies in batches for 1–2 minutes per side, or until golden brown and crisp. Turn carefully with tongs or a slotted spatula. Drain on paper towels to remove excess oil.
