Cook the Apples: Peel, core, and dice the apples into small pieces. Melt the butter in a skillet over medium heat. Add the apples, brown sugar, cinnamon, vanilla extract, lemon juice, and nutmeg if using. Cook for 8–10 minutes, stirring occasionally, until the apples are tender but still hold their shape. Remove from the heat and let the filling cool completely.
Prepare the Cream Filling: Place the mascarpone cheese in a mixing bowl and mix gently until smooth. In a separate chilled bowl, whip the cold heavy cream with the powdered sugar, if using, until soft-to-medium peaks form. Fold the whipped cream into the mascarpone along with the vanilla extract until light and fluffy. Avoid overmixing.
Dip the Ladyfingers: Pour the cooled apple cider or strong coffee into a shallow bowl. Quickly dip each ladyfinger into the liquid, coating it lightly without allowing it to become soggy. Set aside until ready to assemble.
Assemble the First Layer: Arrange a single layer of dipped ladyfingers in the bottom of a small rectangular glass baking dish. Spread half of the mascarpone cream evenly over the biscuits.
Add the Cinnamon Apples: Spoon half of the cooled apple filling over the cream layer and spread evenly. Add another layer of dipped ladyfingers, followed by the remaining cream and apple filling. Smooth the top gently.
Chill the Dessert: Cover the dish and refrigerate for at least 4 hours, preferably overnight. Chilling allows the ladyfingers to soften and the creamy layers to set.
Garnish and Serve: Before serving, dust the top with cinnamon and drizzle with caramel sauce if desired. Add thin apple slices for decoration. Serve chilled and refrigerate any leftovers promptly.