Prep: Line a baking sheet with parchment paper. Set aside.
Egg mixture: In a small bowl, whisk together the egg, heavy cream, and vanilla extract. Set aside.
Flour mixture: In a large mixing bowl, stir together flour, sugar, baking powder, cinnamon, and salt.
Cut butter into flour mixture: Add the cold butter and toss them in the flour mixture to coat. Use a dough blender or your fingers to pinch the butter into pea-sized pieces.
Form dough: Make a well in the middle of the flour mixture. Pour the egg mixture into the well and mix the flour into it with your hands or a spatula until it forms a shaggy dough.
Fold dough: Turn the dough out onto a lightly floured surface. Use your hands or a bench scraper to roughly fold the dough onto itself 1-2 times to create layers of butter. This also helps incorporate any dry floury bits into the dough. Don't knead or overwork the dough.
Flatten dough and add apple filling: Divide the dough into two halves. Press to flatten each half into a ½" thick rounds. Arrange your marinated apple slices in a thick layer in the middle of one dough round, leaving the edges empty. Place the other round of dough on top and press down to seal. Use a bench scraper or knife to cut the dough into 8 wedges.
Chill dough: Transfer the scone wedges to your lined baking sheet, leaving about 2" in between each scone. Chill the whole baking sheet in the fridge while you preheat the oven to 350°F.
Brush: Right before baking, use a pastry brush to brush a thin layer of heavy cream on top of each scone. Sprinkle coarse sugar on top of each scone.
Bake: Bake scones for 20-22 minutes or until the edges are golden brown. Let the scones cool on the baking sheet for about 10 minutes before transferring them to a wire rack to cool.