Prepare the Dough:

In a medium saucepan, combine the water, butter, sugar, and salt. Heat over medium heat until the butter is melted and the mixture comes to a simmer. Add the flour all at once, stirring vigorously until the dough pulls away from the sides of the pan. Remove from heat and allow to cool for 5 minutes.

Incorporate Wet Ingredients:

Stir in the egg, vanilla extract, ground cinnamon, and grated apple. Mix until smooth.

Prepare the Apple Cream Filling:

In a mixing bowl, combine the heavy cream, mascarpone cheese, powdered sugar, apple puree, and vanilla extract. Whisk until smooth and creamy. If the mixture is too thick, add a little more heavy cream to reach your desired consistency. Transfer to a piping bag or squeeze bottle and refrigerate until ready to use.

Heat the Oil:

Heat vegetable oil in a deep frying pan or pot to 375°F (190°C).

Pipe the Churros:

Transfer the dough to a piping bag fitted with a star tip. Pipe 4–5-inch strips of dough into the hot oil, cutting them with scissors. Fry 3–4 churros at a time for 2–3 minutes per side, or until golden brown and crispy.

Coat the Churros:

In a shallow bowl, combine sugar and cinnamon. As soon as the churros are done frying, remove them from the oil and coat them in the cinnamon-sugar mixture while they’re still warm.

Fill the Churros:

Once the churros have cooled slightly, use a small piping bag or squeeze bottle to inject the apple cream filling into the center of each churro.

Serve:

Serve warm, and enjoy the delicious apple cream filling with the crispy, cinnamon-sugar-coated churros!