For the crust: In a food processor combine the flour, salt, and sugar. Pulse to combine. Add the butter and pulse until the butter is finely chopped and the mixture resembles a coarse meal. Add the mascarpone cheese and lemon juice and pulse a few times. Add the ice water and run the machine just until the mixture is moist and crumbly, but does not form a ball. Do not over mix. Turn the dough out onto a sheet of plastic wrap. Press into a disc, cover, and refrigerate for 30 minutes.
For the filling: Place an oven rack in the lower third of the oven. Preheat the oven to 400 degrees F. Melt the butter in a large nonstick skillet over medium heat. Add the apple slices, sugar, and cinnamon. Cook, stirring frequently, until the apples are softened, but not mushy, about 5 minutes. Set aside to cool for 10 minutes. Stir in the lemon juice, lemon zest, walnuts, and Gorgonzola.
Cut a piece of parchment paper to fit the inside of a 12 by 17-inch baking sheet and place on a work surface. Place the chilled dough on the parchment paper. Roll the dough out into an 11-inch circle, about 1/4-inch thick. Lift the parchment paper and transfer to the baking sheet. Spoon the apple filling into the center of the dough. Spread the filling evenly, leaving a 2-inch border. Fold the dough border over the filling to form an 8-inch round. Pleat the edge of the pastry and pinch to seal any cracks in the dough.
Using a pastry brush, brush the crust with the beaten egg. Bake until the crust is golden, about 25 minutes. Cool for 10 minutes before slicing and serving.