Combine first 3 ingredients in a small saucepan. Cook over low heat, stirring constantly, until smooth. Remove from heat, and set aside.
Core apples, cutting to, but not through, the bottom of each apple. Spoon caramel mixture evenly into centers of apples. Place apples in a small baking dish; cover and bake at 400° for 20 to 22 minutes or until apples are tender. Remove from dish, and let cool.
Place 1 sheet of phyllo on a damp towel (keeping remaining phyllo covered). Coat phyllo with cooking spray. Fold phyllo in half crosswise. Place 1 apple on phyllo rectangle. Coat edges of phyllo with cooking spray; bring corners to center, pinching edges to seal. Coat dumpling with cooking spray. Repeat with remaining apple and phyllo.
Place dumplings on a baking sheet coated with cooking spray. Bake at 400° for 5 to 6 minutes or until golden.