Begin by making the filling. Set a large saute pan or roasting pan over medium heat and add butter. Peel and cut cheeks off apples then cut into 1/2-inch chunks. Once butter has melted and just starting to foam, add apples, scraped vanilla bean and pod, lemon juice, and brown sugar and cinnamon. Toss to coat well and cook for 20 to 25 minutes until apples are just tender and liquid has evaporated. The sauce will caramelize slightly and should be a nice, rich dark color.
In a shallow dish, make the batter by combining eggs, milk, sugar, and cinnamon. Stir with a whisk until fully combined.
Preheat oven to 375 degrees F and generously butter and sugar 4 (1-cup) ramekins.
Invert a ramekin, or use a round cutter, on half of the bread slices to use as a guide to cut out circles. These will be the bases and top of the charlottes - you should have 8 in total. Cut the other slices of bread in half lengthwise.
Working with the circles. lightly coat in the batter and place in the bottom of each ramekin. Lightly dip the other rectangles of bread in batter as well, then use them to line the walls of each ramekin - standing them upright around the perimeter leaving an overhang that you will later use to fold over and seal the charlotte. It should take about 6 strips per ramekin. Fill each mold with apples and some of the caramel from the pan. Fold over the edges to seal it up completely and sprinkle the tops with a little sugar.
Bake in the center of the oven for 20 to 25 minutes. If the tops brown too quickly, cover loosely with foil. When done, the bread will have puffed up slightly, the edges will be brown and the sugar on top will have caramelized. Allow to cool slightly, then run a knife around the edges and invert onto individual plates. Serve with cinnamon sabayon.
To make sabayon, combine ingredients in a large mixing bowl and set over a pot of boiling water on low heat, i.e. a double boiler. Whisk (you can use an electric whisk to make it easier) until the mixture becomes light and fluffy and the volume almost doubles.