Arrange 8 cinnamon rolls on a baking sheet; gently press the middle of each roll with the back of a spoon creating an indentation. Spoon apple pie filling into each indentation. Place a second roll atop each filled cinnamon roll, sealing edges together. Repeat with remaining rolls and filling.
Bake in the preheated oven until rolls are browned, 10 to 12 minutes. Swirl icing over warm rolls.