Serve this Latin American specialty as a dessert with this recipe, which is easier to whip up by using refrigerated pie crusts.
Heat oven to 375 degrees. Let ½ of the roll of cookie dough stand at room temperature for 10 minutes to soften. (Refrigerate the rest for another use.) In a large bowl, break up the cookie dough. Add the cream cheese and beat on medium speed with an electric mixer until smooth. Set aside.
Unroll 1 pie crust and roll it out into a 12-inch round. Using a 4-inch round cookie cutter, cut the pie crust into 8 rounds, rerolling the dough as necessary. Repeat with the second and third crusts.
Spoon a scant 1 tablespoon of the cookie dough mixture on 1/2 of each round and flatten slightly. Bring the dough over the filling and press the edges together with a fork to seal. Cut a small slit on the top of each empanada and place on ungreased cookie sheets. Brush the tops with the beaten egg.
Bake for 12-16 minutes or until golden brown. Cool for 2 minutes and then remove from the cookie sheets to cooling racks. Cool completely, about 15 minutes.
Meanwhile, in small microwavable bowl, microwave the peanut butter chips and 2 tablespoons of the shortening on high for 1-1 ½ minutes, stirring every 30 seconds, until smooth. Dip 1 corner of each empanada into the melted chips on an angle, creating a diagonal line. Place on a piece of waxed paper and let stand 10 minutes, or until coating is set.
Meanwhile, in small microwavable bowl, microwave the chocolate chips and remaining 2 tablespoons shortening on high for 1-2 minutes, stirring every 30 seconds, until smooth. Holding the undipped corner of the empanada, dip the peanut butter-coated empanadas into the melted chocolate on the opposite angle so that some of the peanut butter coating is still visible. Refrigerate for 10 minutes or until the chocolate is set. Sprinkle with powdered sugar. Store covered in refrigerator.