Preheat oven to 375 degrees F. Line a baking sheet with parchment paper or lightly grease, and set aside.
In a small bowl combine cinnamon and sugar.
Roll out and separate triangles of dough. On the larger end of the triangle, place a small spoon of ricotta and a small spoonful of apples.
Sprinkle cinnamon and sugar mixture, and add a light pinch of cayenne pepper to each.
Fold and seal the pockets. Place on baking sheet and top with more cinnamon and sugar.
Bake 10-12 minutes or until deep golden brown. Let cool 5 minutes before serving.