Peel, core and slice the apples, then cook them on a medium-low heat with a little water until very soft. Drain them (reserve the juice) and allow them to cool completely.
Mix the apples with the lemon zest and marmalade, then add some brown sugar to taste.
Preheat the oven to 425º and grease and flour a baking sheet (or use parchment paper).
Roll out the pastry to an 8x16 inch square, then cut it into 4x4 inch squares.
Add some of the apple filling to each square. Use a tiny bit of water to seal two opposite sides of a square together, rolling the edges to form a tube running over the filling. Then pinch the two open ends to seal them. Repeat for all of the squares. Brush a little of the reserved apple juice over each of the patries, then sprinkle with a light dusting of sugar.
Bake for 15-20 minutes or until the pastries are golden and look lightly crisp.