Prepare the Apple Filling: In a small skillet over medium heat, melt 2 tablespoons of butter. Add the diced apples and stir for about 3 minutes until they start to soften. Add both sugars, cinnamon, and nutmeg. Stir continuously for another 4-5 minutes. Sprinkle in the flour and mix until the filling thickens and becomes glossy. Remove from heat and stir in the vanilla extract. Let it cool slightly before assembling.

Prepare the Dough: If using biscuit dough, separate each biscuit and flatten it into a 4-inch circle using your hands or a rolling pin. If using puff pastry, cut it into 4-inch squares. Spoon 1 tablespoon of apple filling into the center of each dough piece. Add a caramel candy or a teaspoon of caramel sauce on top of the apples.

Shape the Bombs: Gently fold the dough over the filling and pinch the edges to seal tightly. Roll each sealed ball lightly between your palms to form a smooth ball. Place seam-side down on a parchment-lined baking sheet, ensuring there are no gaps or holes to prevent caramel leaks.

Bake the Bombs: Preheat the oven to 375°F (190°C). Brush each bomb with melted butter. Bake for 14-18 minutes, or until golden brown and puffed. Allow to cool for 5-10 minutes before coating. Alternatively, air fry at 350°F (175°C) for 7-9 minutes, flipping halfway through.

Cinnamon Sugar Coating: Mix the ¼ cup sugar with 1 teaspoon cinnamon in a small bowl. Brush each warm bomb with melted butter, then roll in the cinnamon-sugar mixture to add crunch and enhance the caramel-apple flavor.

Make the Caramel Glaze: In a small saucepan, heat the caramel sauce and heavy cream over low heat. Stir until smooth and pourable. Add a pinch of sea salt for a salted caramel version. Drizzle generously over the warm bombs before serving.