Pulse the cream cheese, egg, sugar, lime zest and lime juice in a food processor until smooth.
Put 1 tablespoon guava paste in the center of each empanada wrapper, then top with 1 tablespoon of the cream cheese mixture. Fold the dough over the filling and press the edges with a fork to seal.
Heat about 11/2 inches vegetable oil in a wide saucepan until a deep-fry thermometer registers 350 degrees F. Working in batches, fry the empanadas until golden brown, 2 to 3 minutes per side. (Return the oil to 350 degrees F between batches.) Drain on a paper towel-lined plate. Dust with confectioners' sugar.