Add the apples, orange juice and water to a heavy bottomed pan and cook over medium heat for 7-8 minutes, till the apples begin to soften.
Make the caramel sauce in the meantime, by heating the sugar without disturbing. When it begins to caramelize, gently mix. Once it has melted, reduce the flame, add the butter and cream, carefully whisk to form the sauce.
Pour the sauce followed by cinnamon and nutmeg over the apple mixture.
Continue to cook for about 8-9 minutes till the liquid becomes syrupy. Remove from the flame and cool.
Once cool, blend the fresh chilled yogurt with caramel apple pie filling (reserve 3-4 tbsp, optional) to a smooth consistency.
Optional: Add the reserved caramel apple pie filling to serving glasses. Drizzle the sides with extra caramel.
Pour the lassi onto serving glasses, garnish with a sprinkle of cinnamon and a drizzle of caramel and serve immediately.