In the bowl of a stand mixer with the dough hook attachment, mix together the flour, sugar, yeast, and salt.
With the mixer on low, slowly add butter, milk, water, eggs, and vanilla. Turn the mixer on medium-low and knead until the dough is soft and smooth (about 2 minutes). If it seems too dry add a little water, if it seems too sticky add just a little flour, up to a ¼ cup.
Place the dough in a lightly greased bowl, cover, and allow to rest until doubled in size, about 1 hour.
Spray a 12 x 4½-inch loaf pan with nonstick cooking spray. (You can also use two 8x5-inch pan or smaller; you will just need to equally divide the dough between the pans.)
Punch down the dough and turn it out onto a lightly floured surface.
Roll the dough into a 12x20-inch rectangle.
Spread the apple filling over the entire top on the dough.
Cut the dough crosswise into 6, 3½x12-inch strips.
Stack the strips on top of one another.
Cut the stack into 6 pieces, about 2x3½-inches each.
Turn the pieces on edge, and place them in the loaf pan one in front of the other from one end of the pan to the other, squeezing them in tight. I sprinkled any pieces of apple that had fallen off over the top of the dough after I put it into the pan.
Cover the pan and allow the loaf to rise for 30-60 minutes, or until almost doubled in size. While the loaf is rising, preheat the oven to 350°F.
Bake for 45-55 minutes in the center of the oven, tenting it with foil after 30 minutes. Remove the loaf from the oven, and transfer it to a rack to cool for 15-20 minutes before turning it out of the pan to cool completely.
While the bread is cooling, prepare the glaze.