Place a baking sheet in oven and preheat to 400.
Line a 9-inch pie plate with 1 piece of dough; refrigerate until ready to assemble.
For cinnamon-roll crust: Lay remaining piece of dough on lightly floured surface and spread margarine evenly on top. In a small bowl, mix 1/4 cup sugar and 1 teaspoon cinnamon; sprinkle evenly over margarine, and press gently to help mixture adhere. Roll pie dough into a tight log. Trim about 1 1/2 inches from both ends; cut remaining log crosswise into 1/2-inch-thick pieces.
Arrange pieces cut-side down in a snug circle on a piece of floured parchment paper. Dust with more flour. Gently roll it into a 10-inch round. Refrigerate until ready to assemble pie.
Peel and slice apples. Toss with lemon juice, vanilla and remaining 1/4 cup sugar and 1/8 teaspoon cinnamon in a large bowl. Pour apples into the dough-lined pie plate.
Invert cinnamon-roll crust on top and peel off the parchment (it's OK if the individual rounds separate a bit in the process). Pinch crusts together; Brush with beaten egg.
Set pie on hot baking sheet in oven; bake until crust is golden brown and filling is bubbling, about 50 minutes. (Tent loosely with foil if top browns too quickly.) Transfer to a rack to cool slightly.
Whisk the confectioners' sugar and soymilk in small bowl until smooth. Drizzle over the pie.