Preheat the oven to 350°F (175°C). Spray a 9-inch pie pan with baking spray.
In a large bowl, combine peach pie filling, vanilla extract, cinnamon, nutmeg, and lemon juice. Stir until blended.
Sift in the cornstarch into the peach pie filling and stir thoroughly.
Unroll one pie crust and press into the pie plate.
Spoon the peach filling into the bottom crust, spreading evenly.
For a solid top crust, place the crust over the filling, crimp edges, and cut small holes for steam. For a lattice top, unroll the second pie crust and cut into 1-inch strips with a pizza cutter. Weave 9 strips over the filling, pressing edges of the pie crust to seal.
Use a fork to press the edges, or use your fingers to crimp the edges, and trim excess pie dough.
Mix the egg and water. Brush over the top crust with a pastry brush. (Optional: Sprinkle with coarse sugar.)
Bake for 60 minutes, or until the crust is golden brown and the filling is bubbling. Cover edges of the pie crust with aluminum foil if browning too quickly.
Remove and cool on a rack for 4 hours before serving and slicing.