Cut each fig into 6 or 8 pieces. Peel, core and thinly slice the apples.
Place the fennel seeds in a small square of muslin and tie up the edges to make a bag.
Place the figs, apples, bag of fennel seeds, lemon zest and lemon juice in a large heavy saucepan. Cover and bring slowly to the boil. Simmer for 30 minutes or until the figs are tender, stirring occasionally. Discard the fennel seeds.
Add the sugar, stirring well with a wooden spoon to dissolve. Once dissolved increase the heat. Boil for 5 minutes or until the setting point is reached ( 220-222 F or 104-106 C).
Pour into jars and cover the surface of the jam with circles of waxed paper. Tightly cover the jars and store at room temperature.