In a small bowl, activate the yeast with a little lukewarm milk and a teaspoon of sugar. This will take about 5-10 minutes.
In a large bowl, combine the flour, sugar, salt, and cinnamon. Add the egg, melted butter, and the activated yeast.
Gradually add the remaining lukewarm milk and start kneading until the dough is smooth and elastic. Cover with a kitchen towel and let it rise for 45 minutes.
Meanwhile, peel and dice the apples. In a skillet, lightly caramelize them with vanilla sugar and a knob of butter. Let them cool completely.
Roll out the risen dough to about 1/4 inch (0.5 cm) thickness. Cut into long strips and wrap them around a chimney cake roller (or a paper towel roll covered in aluminum foil).
Lightly brush the wrapped dough with melted butter, then roll it in cinnamon sugar to coat evenly.
Preheat the oven to 390°F (200°C). Bake the chimney cakes for about 12-15 minutes, rotating frequently, until golden brown. Do not use convection setting.
As soon as you remove them from the oven, immediately coat them with the caramelized apples, allowing the flavors to meld and enrich.
Dust with powdered sugar and serve warm to best enjoy the apple flavor.
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