Combine first 3 ingredients in a small bowl; set aside.
Place 1 sheet of phyllo on a damp towel (keep remaining phyllo covered). Lightly coat phyllo with cooking spray. Place another sheet of phyllo over first sheet; coat with cooking spray. Cut stacked sheets lengthwise into 4 equal strips (each about 3 1/4 inches wide).
Working with one strip at a time, place 1 heaping tablespoon apple mixture at base of strip (keep remaining strips covered). Fold the right bottom corner over apple mixture to form a triangle. Continue folding the triangle back and forth to end of strip. Repeat folding process with next 3 strips. Place triangles, seam sides down, on a baking sheet coated with cooking spray. (Keep triangles covered before baking.) Repeat procedure twice with remaining phyllo sheets and apple mixture.
Bake at 400° for 15 minutes or until golden. Remove from baking sheet, and let cool 5 minutes on a wire rack. Combine powdered sugar and milk, stirring until smooth. Drizzle sugar mixture evenly over turnovers. Serve warm.