Heat the oven to 400°F. Put a sheet of parchment paper on your baking sheet.
While the oven is preheating, thaw the pastry sheets. Thaw about 35 but no more than 40 minutes.
Beat the egg and water in a small bowl with a fork or whisk.
Unfold 1 pastry sheet on a baking sheet. Spread the pie filling on the pastry to within 1 inch of the edge. Top with the cinnamon.
Brush the edges with the egg mixture. Unfold the remaining pastry sheet and place over the filling. Crimp the edges with a fork to seal. Brush with the egg mixture. Cut several slits in the top of the pastry.
Bake for 30 minutes or until the pastry is golden brown. Cool the pastry on the baking sheet on a wire rack for 15 minutes. Sprinkle with the confectioners' sugar.