Preheat the oven to 200C/400F/Gas 6.
For the millefeuille, place three of the halved sheets of pastry onto a non-stick baking sheet and brush with butter. Place one of the remaining sheets on top of each sheet of filo pastry and brush again with butter.
Transfer to the oven and bake for 5-6 minutes, or until crisp and golden-brown.
For the caramelised apples, place the butter, maple syrup and lemon juice into a pan and heat gently, stirring frequently, until well combined.
Add the apple slices and sauté until beginning to caramelise. Add the marzipan and allow to melt to make a smooth sauce.
To serve, place one piece of pastry onto a serving plate and top with half of the apple mixture. Top with another layer of pastry and the remaining apple, then the final piece of pastry. Serve with the whipped cream.