Preheat the oven to 425°. Place a wire rack onto a baking sheet. In a small food processor or spice grinder, pulse oatmeal and walnuts until they look like flour. Pour into a shallow bowl or plastic bag. Mix with flour, walnuts, sugar, cinnamon, and nutmeg. Pour melted butter into a shallow baking dish. Cut apples into ½ inch slices. Dip the apple into melted butter. Let excess drip off. Dredge into oatmeal mixture. Place them in a baking dish. Bake for 10 minutes.
In a small bowl, mix together cream cheese and vanilla. Fold in the whipped cream.