Preheat oven to 400°F (200°C). Line a baking sheet with parchment paper.
In a large bowl, whisk together flour, sugar, baking powder, salt, and cinnamon.
Cut in the cold butter until the mixture resembles coarse crumbs.
Stir in the chopped apple.
In a small bowl, whisk together milk, egg, and vanilla extract. Add to the flour mixture and stir until just combined.
Turn the dough out onto a floured surface and knead gently. Pat into a circle about 1 inch thick. Cut into 8 wedges and place on the prepared baking sheet.
Bake for 18-20 minutes, or until golden brown. Cool on a wire rack.