Heat the milk in a small saucepan on medium heat, until bubbles start to appear across the surface. Stir the milk occasionally, and do not let it come to a boil. Add the butter to the pot. Remove the pot from the heat and let it cool to 105 degrees.
Add the following ingredients to your bread machine, in the order suggested by the manufacturer: the cooled milk and butter, flour, yeast, salt, sugar, egg, and vanilla.
Process on the dough cycle.
While the dough rises make the cinnamon sugar coating, by mixing together the cinnamon sugar.
Also, make the Cinnamon Apples. Melt the butter and sugar together in a saucepan. Add the apples, and cook on medium heat until the apples are tender but not mushy.
Preheat the oven to 400 degrees.
On a floured board, roll the finished dough out into a quarter inch thick square. Cut the dough into four inch squares, and then cut the squares into triangles.
Place the dough triangles on two parchment lined baking sheets, with about two inches of space between each sopaipillas. Bake for 12 minutes, rotating the pans between racks after six minutes. Dip them into the melted butter, and then the cinnamon sugar topping. Serve right away.