Heat the oven to 400°F (200°C) and line a sheet pan with parchment paper.
Slice each apple crosswise into 4 rings about ½ inch thick. Cut out the core from each ring, leaving a hole about 1 inch wide.
Cut the puff pastry sheet into 24 thin strips.
Mix the sugar and cinnamon on a plate. Pat the apple rings dry and dunk each one in the cinnamon sugar to coat both sides, saving a little for the top.
Wrap two pastry strips around each ring, threading them through the center and overlapping slightly. Tuck the ends underneath and set the rings on the sheet pan.
Brush the pastry with the beaten egg and sprinkle with the remaining cinnamon sugar.
Bake for 18 to 22 minutes, until the pastry is puffed and golden.
Cool for 5 minutes before serving.
Notes
Honeycrisp or Granny Smith work in place of Cosmic Crisp. Skip soft apples like McIntosh.
If the strips stretch while you wrap, chill them for 10 minutes.
Best the day they're baked. Store leftovers at room temperature up to 1 day and re-crisp at 350°F for 5 minutes.