Using a food processor, pulse together the flour and salt until combined. Add butter and pulse until mixture becomes coarse meal, about 15 pulses.
In a small bowl, combine egg and water. Add the egg mixture to food processor and pulse until it starts to clump together. DO NOT pulse until ball is formed. It should be crumbly with large clumps of dough.
Turn dough only a lightly floured surface and form into a ball. Cut in half and flatten each ball slightly to form a disk. Wrap each in plastic wrap and put in fridge for at least 1 hour or up to 3 days.
When ready to make empanadas, heat oven to 400°F. Roll out dough to ⅛ inch thickness. Cut into circles about 5 inches in diameter using a ring cutter or small bowl.
Put about 2 tablespoons of the cheese in the center of each circle. Put some water around the entire edge, so once folded it will stick together. Wrap dough around filling to form empanada, pressing edges together. Crimp with a fork. Place on a parchment-lined baking sheet.
Whisk together an egg and 1 tablespoon of water to make the egg wash. Brush each empanada with the egg wash. Bake for 20-25 minutes or until they are golden brown.
Do not overfill or the filling will come out. Add a max of 2 tablespoon of cheese.
Make sure the edges are sealed well to prevent the filling from leaking out.
If the dough is becoming a little warm due to being out too long when adding the filling, just place the filled empanadas back in the fridge for 30 minutes before baking.
Use an egg wash on the outside of the dough to get the empanadas golden brown.
Leftover empanadas can be stored in an airtight container in the fridge for 3-4 days or in the freezer for up to 3 months.