In a medium saucepan, combine water, cornstarch, sugar, cinnamon, and lemon juice over low heat. Stir constantly until the mixture thickens, about 3-4 minutes. Add in chopped Granny Smith apples, simmer for 8-10 minutes. Remove from heat and let cool.

In a mixing bowl, beat the cream cheese until fluffy. Gradually add sugar, lemon juice, and vanilla, mixing until smooth.

Roll out empanada dough, cut into circles. Place 1 tablespoon of cream cheese mixture and 1 tablespoon of cooled apple filling on each circle. Moisten edges, fold and crimp to seal.

Heat vegetable oil to 375°F in a skillet. Fry empanadas until golden brown, about 3-4 minutes on each side. Transfer to paper towel-lined plate.

Roll warm empanadas in cinnamon and sugar mixture and drizzle with caramel sauce before serving.