Preheat oven to 400 degrees F, and line and baking sheet with parchment paper.
In a large mixing bowl, stir together pancake mix, butter, and sugar. Mix with your hands until crumbly - it's okay to have chunks of butter not fully incorporated.
Add coconut milk and vanilla extract, and stir until a wet dough is formed.
Drop the dough by 2 tablespoons onto the prepared baking sheet, spacing them about 2-3 inches apart.
Grease the back of a tablespoon and make an indent in the center of each dough. Fill the centers with a spoonful of the apple filling.
Crack the egg in a bowl and whisk to make a egg wash. Brush the top of the danish with the egg wash, concentrating on the outer dough.
Bake for 15-17 minutes until puffed and golden. Remove from the oven to cool completely. They'll firm up as they cool.
If using the glaze, stir together powdered sugar and milk in a bowl until smooth. You can add more milk for a thinner consistency. Use a fork to drizzle over the danish. Enjoy!