Prepare the barbecue for direct cooking over medium heat (180 to 230°C) and preheat a Weber large frying pan or a Weber casserole dish for 10 minutes.
Add the apples, lemon, butter, brown sugar and cinnamon to the pan. Cook over direct medium heat for 15 minutes or until the apples have just started to soften. Remove from the heat and set aside to cool.
Once the apples have cooled to room temperature, prepare the barbecue for indirect cooking over medium heat (180 to 220°C). If using a Weber Q barbecue, set up your barbecue with a convection tray and a trivet.
For a pastry braid: With a knife, gently mark a 7cm section lengthwise down the centre of the pastry. Perpendicular, to the marked centre section, cut 2cm strips either side of the centre section. The outer strips will be folded over the apple filling to create a braid. Remove the triangle offcuts from the top and bottom of the pastry, leaving the centre section and the strips on either side.
Place the pastry onto a lined baking tray. Spoon a third of the apple mixture into the centre third of the pastry, leaving a 2.5cm space at the top and bottom of the pastry.
Fold up the top and bottom ends of the centre section over the apple filling, this will help keep the filling in place. Alternating from left to right, fold the strips down over the pastry.
Repeat with the remaining two pastry sheets.
Using a pastry brush, brush the pastry with the lightly beaten egg. Sprinkle the chopped pecans over the pastry.
Bake the apple danishes over indirect medium heat for 30 to 40 minutes or until the pastry is golden.
While the danishes are baking, make the icing drizzle. In a small bowl stir together the icing mixture and milk.
Once the apple danishes have cooked, remove from the barbecue to cool slightly. Finish with a drizzle of the icing.