I want to make baked apples but all I have are Fuji apples.
Fuji apples will work in a pinch, and will still make a yummy baked apple. They are not my favourite apples for baking but they are going to give you an apply flavour and get soft. Maybe just not be the super-five-star-restaurant kind of baked apple result.
Just keep an eye on them more carefully in the oven as they often cook at a different rate than 'baking apples'. Cook 'till you are happy with them and not the time suggested in the recipe.
Let us know how they turn out for you.
It's worth mentioning that Fuji apples will be sweeter than most "baking" applies, and you may end up having to adjust the sugar in the recipe (downward).