Combine cream cheese, brown sugar, cinnamon, nutmeg and vanilla. beat at medium speed with an electric mixer one minute or until smooth. Set aside.
Core apples and slice into thin horizontal slices. Brush with lemon juice.
To assemble a sandwich, spread one side of two slices of bread with cream cheese mixture. Top one slice of bread with apple slices, then place the other piece of bread on top of apples (cream cheese side down. Trim edges. Cut diagonally twice. Lightly spread cheese mixture on front edges. Dip into chopped nuts and serve.