Pit the peaches and chop into small dice. In a small saucepan, cook the peaches and sugar over medium heat until soft, 5 to 7 minutes. Remove from the heat. Stir in the mascarpone cheese and pecans. Keep the wonton wrappers under a moist towel to prevent drying out. Working one by one, place a heaping tablespoon of peach-mascarpone mixture in the center of the wrapper. Brush egg wash along the top two sides, and then fold into a triangle, squeezing out as much air as possible. Line the finished wontons on a plate and cover with another damp towel until ready to fry.
In a medium-sized skillet, heat the oil until just smoking. Working in batches, fry the wontons until golden brown, about 2 minutes on each side. Remove the wontons to a paper towel-lined plate to drain excess oil. Transfer to a serving plate and garnish with confectioners' sugar.