Pit the peaches and chop into small dice to yield 2 cups. Cook's Note: If the peaches are ripe, you will only need 2, but if they're still a bit firm, you may need 3 to yield the 2 cups needed.
In a small saucepan, cook the peaches and sugar over medium heat until soft, 5 to 7 minutes. Remove from the heat.
In a medium bowl, combine the mascarpone cheese and chopped pecans. Add the cooked peaches to the mascarpone mixture and stir to combine.
In a medium-size, heavy-bottomed skillet or deep fryer, heat the oil to 375 degrees F.
In a bowl, beat the egg for the egg wash. Keep the wonton wrappers under a moist towel to prevent them from drying out. Working 1 by 1, place a wonton wrapper on the cutting board. Place a heaping tablespoon (using 2 spoons to scrape the mixture off) peach-mascarpone mixture in the center of the wonton wrapper, making sure you have pecans in the mixture. Brush the egg wash along the top 2 sides of the wonton, and then fold over into a triangle, squeezing out as much air as possible. Too much air in the filling will cause the wonton to burst during frying. Press to seal the edges. Line the finished wontons on a plate and cover with another damp towel until ready to fry.
Working in batches of 3, gently fry the wontons until golden brown, about 2 minutes on each side. Remove the wontons to a paper towel-lined plate to drain the excess oil. Transfer to a serving plate and dust with confectioners' sugar. Serve warm.
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