Cut in the shortening with a pastry cutter or 2 knives until the mixture resembles coarse meal.
Beat the egg in a mixing bowl, then stir in the water.
Add the egg mixture to the flour mixture and knead until a dough forms. Cover and refrigerate for 30 minutes.
Make the apple caramel filling: bring 1 cup of water to a simmer in a shallow pan. Add the apples and cinnamon and simmer until fork-tender and the water evaporates.
In a small saucepan, add the sugar, lemon juice and remaining 2 tbsp water. Warm over low heat, stirring, until it reaches a simmer.
Quickly fold in the cooked apples. If the filling hardens before you assemble, return it to low heat to keep warm.
Lightly flour a surface and roll out the dough to 1/4-inch thick.
Place 1-3 tbsp of filling in the centre of each dough circle. Fold over to a semi-circle and press the edges with a fork.
Heat the oil in a deep pan to 350F (177C). Deep-fry the cold empanadas in batches for 6-7 minutes until golden brown.
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