Preheat your waffle maker. If it has a dial, aim for medium or slightly higher. Lightly oil or spray the plates so nothing sticks.
Cook the apples. In a medium skillet over medium heat, melt the butter. Add the diced apples, brown sugar, cinnamon, lemon juice, and a pinch of salt. Cook 3 to 5 minutes, stirring, until the apples are slightly tender but not mushy and the juices look syrupy. Transfer to a plate to cool for a few minutes. This quick sauté keeps the waffles crisp, not watery.
Make the batter. In a large bowl whisk together flour, granulated sugar, baking powder, baking soda, salt, cinnamon, and nutmeg. In a second bowl, whisk the egg, milk, yogurt, melted butter, and vanilla until smooth.
Combine. Pour the wet ingredients into the dry. Stir just until you don’t see dry patches. Fold in the warm (not hot) apples. The batter will be thick and speckled with syrupy bits. That’s the good stuff.
Cook. Scoop batter onto the preheated waffle iron enough to cover but not overflow. Close and cook until deeply golden with crisp edges, about 3 to 4 minutes per waffle, depending on your machine. Transfer cooked waffles to a wire rack. If you want the donut shape and don’t have a donut-style iron, use a small round cutter to punch a hole in the center. Little snack holes for the cook? Yes please.
Keep warm. Slide finished waffles onto a sheet pan and keep in a 200°F oven while you finish the batch. This keeps them crisp.
Glaze. In a small bowl, whisk powdered sugar, 2 tablespoons milk, vanilla, and a tiny pinch of salt until smooth and pourable. Add the remaining milk if needed. Dip each warm waffle donut into the glaze or spoon it over the top. Let set on the rack for 5 to 10 minutes. The glaze will turn shiny and delicate.