Heat the oil in a wide frying pan over medium high heat and add the chopped apples, sugar, cinnamon, and salt and stir to combine. Reduce the heat to medium low and cook until the apples have released their juice, reduced in size and are lightly golden in color, about 12 to 18 min, stirring every 3 to 5 min or so, depending on the juiciness of the apples. Remove from heat, cover, and set aside to cool to room temperature.
Mix together the flour, sugar, yeast, cinnamon and salt in an electric stand mixer fitted with the paddle attachment at medium speed. Reduce to low speed and add the egg and the milk and mix until dough begins forming. Switch to the dough hook attachment and mix at medium low speed until the dough forms a ball around the hook.
Add the butter, 1 tablespoon at a time, and mix for 1 minute after the first tablespoon until adding the second one. Mix at low speed with the dough hook until the dough comes together around the hook, pulls cleanly away from the sides of the bowl, and is no longer sticky, about 5 minutes more. If you're kneading by hand, doing by hand, it will be very messy and you may need to add another tablespoon of flour to help it come together. But stay kneading and it will eventually smooth out and come together, it will just take about 10 minutes of kneading.