Pour vegetable oil into a 2 to 3-quart heavy-bottomed saucepan until it is a little more than ½ full. There should be enough oil to completely submerge the dough balls. Set the saucepan aside for now.
Combine the granulated sugar and ground cinnamon in a small heat-safe bowl. Stir until evenly mixed, then set aside.
Open the biscuits and flatten each piece of dough using your fingers or a rolling pin. If the dough sticks while using a rolling pin, lightly dust the work surface with all-purpose flour.
Spoon 1 tablespoon of apple pie filling into the middle of each flattened dough circle.
Add both halves of one caramel on top of the apple filling. Cutting the caramel in half is important because a whole caramel will not melt properly.
Bring the edges of the biscuit dough together over the filling and firmly pinch them closed so the dough does not open during frying. Gently tuck and roll the joined edges underneath to form a ball.
Heat the vegetable oil to 325°F. Keep the oil as close to this temperature as possible throughout the frying process.
With a slotted metal spoon, carefully lower the filled dough balls into the hot oil. Fry no more than 2 at once. Move and turn them gently with the spoon as they cook so they do not stick or scorch. Continue frying until every side is golden brown, about 5 minutes. Watch the oil temperature closely and adjust the heat when necessary. Oil that is too hot can brown or burn the exterior before the dough cooks through, while oil that is too cool can cause uneven cooking.
Lift each cooked pie bomb from the oil with the slotted spoon and immediately place it in the bowl of cinnamon sugar. Roll it until the entire surface is coated. Transfer to a plate and continue frying and coating the remaining pie bombs.
Serve immediately. Drizzle with caramel sundae topping, if desired.