Place apples, sugar, butter, lemon juice, cinnamon and nutmeg in a pot. Cook on medium heat until the apples are tender. Add cornstarch and stir until thickened. Set aside.
Mix the buttermilk and sugar in a mixing bowl then sprinkle yeast on top.In a separate bowl mix the butter, egg, egg yolk, salt and nutmeg then whisk into the yeast mixture.
Place bowl on a stand mixer fitted with a dough hook then add about 1/2 cup of flour. Mix on low speed until mostly combined then repeat until all the flour is gone.
Knead dough for an additional 5 minutes. Transfer to a large greased bowl then cover and allow to rise in a warm place for an hour or until doubled in size.
Whisk the butter, brown sugar and cinnamon. Roll dough into a rectangle. Spread the cinnamon sugar filling across the dough then spread the cooled apple filling on top.
Tightly roll the dough towards you then cut 12 even rolls and place in a lightly greased 9×13 pan. Cover and allow to rise in a warm place for an hour or until doubled in size.