In a medium bowl, dissolve yeast in warm water; set aside.
In large mixing bowl, beat butter with an electric mixer on medium speed for 30-seconds. Beat in granulated sugar, salt and eggs. Beat in yeast mixture and 2-cups of the flour until smooth. Using a wooden spoon, stir in as much of the remaining flour as you can.
Turn dough out onto a lightly floured surface. Knead in enough of the remaining flour to make a moderately soft dough (2 minutes). Remove one-forth of the dough and set aside.
Divide remaining dough in half. On a floured surface, roll each half to an 8-inch square. Place each in a well greased 8x8x2-inch baking pan.
In a medium bowl, combine pie filling and nuts; spoon atop the dough, leaving a 1/2-inch border on all sides.
On the floured surface, roll the remaining dough portion into an 8x6-inch rectangle. Cut into twelve 8-inch strips. Place 3 strips on each pan in one direction; turn pan and add remaining strips, forming a mock lattice.
Place pans on rack in middle of a cool oven. Add a pan of boiling water on bottom shelf. Close door and let rise 30 minutes. Remove pan of water.
Turn oven on to 350°F. and bake 25 to 30 minutes or until edges of coffee cakes are golden. Cool slightly.
In a small bowl, combine powdered sugar, vanilla and enough milk to make a drizzling consistency. Drizzle atop coffee cakes. Serve warm or at room temperature. Makes 2 coffee cakes.