Heat a pan over medium heat. Cook the grated apples and sugar until soft and almost no juice left, about 10 minutes.

Add in cinnamon and walnuts. Cook for another 2 minutes. Remove from the heat and let it cool completely.

Whisk together the softened butter, yogurt, egg, lemon zest, powdered sugar, cornstarch and baking powder.

Gradually add in the flour and mix using your hand or a stand mixer until everything holds together. You will have a soft, non-sticky dough. Roll the dough into a log and cut it into 10 equal balls (or 8 balls for thicker cookies).

Preheat the oven at 350F / 180C. Line a baking sheet with parchment paper.

Dust the counter with a little flour. Place one of the dough balls on it and using a rolling pin, roll it into a circle (7 inch / 17 cm diameter and ⅕ inch / ½ cm thick). It doesn’t have to be perfect. 

To create a perfect round, place a plate on the dough and cut around it with a knife or pizza cutter. You can discard the scraps or gather them to form another dough ball once you've finished shaping all the cookies.

Next, cut the circle into 8 equal triangles. Add 1-2 teaspoons of filling to the wide end of each triangle, then roll them up. Place them seam-side down on a parchment-lined baking sheet.

Repeat the same steps with the remaining dough balls. You might need to use 2 baking sheets. And bake until very lightly browned, about 20 minutes. Let them sit on the baking sheet for 10 minutes and then transfer them onto a cooling rack. Sprinkle as much powdered sugar as you want on each and serve.