Why do apples, when placed in a cool environment for extended periods of time, form a 'waxy' layer on their skins
This waxy coating is called epicuticular wax, as it forms the cuticle of the fruit. It is essentially paraffin. It acts to both seal in moisture and keep out fungi, dirt and microorganisms.

As rumtscho suggests in her comment, even if you could prevent it from forming, it's not a good idea for obvious reasons: it does no harm and keeps the apples fresher for longer.