Mix the yeast, sugar and warm water together. Let foam 10 minutes. Scald the milk and add the margarine, stirring to melt the margarine. Let milk cool. In a medium bowl, blend the cooled milk, egg and sugar with the yeast mixture. Add the flour, cinnamon and nutmeg.
Knead 2-3 minutes. Place in greased bowl and refrigerate overnight (or at least four hours). Roll out dough between 1/4 and 1/2 inch thick. Cut in 3 inch squares. Heat the oil to 375 F. and fry squares a few at a time. Drain on paper towels.
Make a small slit in each square either across the top surface or on the side. Spoon in apple filling. Dust top with cinnamon sugar.
Can be frozen and re-heated in a very low oven (250-300 F).
1 cup granulated sugar
1/2 tsp. cinnamon