In a pot or large skillet, heat the diced apples, sugar, butter, cinnamon, and nutmeg on medium-low heat until the apples are soft and tender. This will take about 10 minutes. Stir the apples occasionally to make sure they are all cooking evenly.
Mash the apple mixture as much as you can with a fork or a potatoes masher. Use roughly 2 tbsp worth of filling and place it in the middle of the rectangles that are on your baking sheet. Leave about 1/4 inch around the edge.