Heat oven to 375. Place parchment paper on lg baking sheet. Melt butter in small saucepan over medium heat until golden. Pour butter into small bowl.
Peel and core apples. Chop into small cubes. In medium bowl, combine apples, brown sugar, nutmeg, cinnamon, lemon zest and lemon juice. Stir to mix. Spray a lg skillet w/ cooking spray. Place skillet over medium heat. Add apple mix to skillet and cook, stirring, for 5 mins.
Add walnuts and cook 1 min more. Place 1 sheet of phyllo dough on cutting board. Coat lightly w/ cooking spray. Spoon 1/2 cup of apple mix onto bottom edge of dough, leaving a 1"-border on all sides. Fold dough over twice to form a packet. Roll edges under to secure. Place on baking sheet and brush w/ browned butter. Repeat w/ remaining dough. Bake 6-8 mins, or until golden brown.