Heat the vegetable oil in a medium skillet over medium-high heat. Add the chorizo and cumin and cook, breaking up the meat with a wooden spoon, until browned, about 3 minutes. Add the corn and jalapenos and cook, stirring, until the corn is tender, about 2 minutes; let cool completely. Stir in the cheese and scallions. Squeeze the mixture together with your hands to make it compact.
Preheat the oven to 425 degrees F and brush a baking sheet lightly with vegetable oil. On a floured surface, roll out the dough and fill the dinner pockets. Step-by-step directions.
Place the pockets seam-side down on the prepared baking sheet. Beat the egg and 1 tablespoon water in a small bowl; brush the pockets with the egg wash. Bake until golden brown, about 15 minutes.