In a small saucepan, heat the milk and 1/2 cup of water on a low-medium heat until the liquid is warm but not hot to touch.
Meanwhile, in a large bowl, mix together the yeast, granulated sugar and 1 cup of flour. Stir in the warm milk. Cover and set aside for approximately 15 minutes until thick and foamy.
Stir in the melted butter and salt. Then gradually mix in the remaining 2 cups of flour. Cover with cling film and leave to rise until doubled in size, about 1 hour.
Lightly coat an 11" x 8" casserole dish with oil. Line the pan with parchment paper, leaving a 3 inch overhang on the long sides. Then oil the parchment paper, too.
Turn the dough out onto a floured surface and roll out into a 12" by 9" rectangle.
Spread the apple pie filling over the dough.
Starting from the long side, roll the dough into a tight log, pinching the seam to seal it.Slide a long piece of unflavored dental floss under the log of dough around 1 inch from the end. Holding the floss taught, lift ends and cross them over each other to cut one piece of dough. Continue this every inch or so until you have 12-13 rolls.
Transfer rolls, cut sides up to the pan. Space them equally, cover and allow to rise for another 60 minutes, until the rolls have doubled in size and sides are touching.
Meanwhile, heat oven to 375 degrees F.
Bake the rolls for 25 to 27 minutes, until puffed and golden brown. Allow to cool for 10 minutes before generously drizzling the glaze all over them.