Fill a 2 to 3 quart heavy-bottomed saucepan a little over ½ way with vegetable oil. You will want this deep enough to cover the dough balls completely. Set it aside.
In a small heat-safe bowl, stir together the granulated sugar and ground cinnamon. Set it aside.
Open the can of biscuits, and either using your fingers or a rolling pin, flatten the biscuit dough. (If you are using the rolling pin, you may need to lightly flour your work surface.)
Place 1 tablespoon of apple pie filling in the center of the dough circle.
Place the halved caramel on top of the apples. (The caramels will not melt properly if left whole)
Pinch the edges of the dough together to ensure it does not come apart while frying. Once you have pinched the edges, gently roll the ends under into more of a ball shape.
Heat the oil on medium heat. It should reach a hot enough temperature where a tiny piece of dough dropped in the oil will be bubbly.
Using a slotted metal spoon, carefully lower the dough balls into the oil, cooking no more than 2 at a time. Use the slotted spoon to roll the balls around in the oil to ensure they do not stick or burn. Fry the dough balls until all sides are golden brown. Be sure to constantly monitor the oil temperature and adjust accordingly. Too hot and you will burn the dough, too low and it will not cook evenly
Carefully lift the pie bombs out of the oil and transfer them to the cinnamon sugar bowl, and roll to completely coat in the sugar mixture. Place on a plate and repeat the process.
Serve immediately. You can drizzle with the caramel sundae topping if desired.