Unfold pastry sheets on baking sheets; press out fold lines. Stir together egg and 1 tablespoon water; brush on pastry sheets.
Bake at 400° for 15 minutes or until golden. Cool on wire racks.
Beat pudding mix and whipping cream at medium speed with an electric mixer 2 minutes. Cover and chill 30 minutes.
Melt butter in a large skillet over medium heat. Add apple slices, sugar, and cinnamon. Cook, stirring constantly, 10 minutes or until tender; drain.
Spread pudding over 1 pastry sheet; top with apple mixture. Place remaining pastry sheet over apple slices; sprinkle with powdered sugar.