Empanada Dough: Combine flour, salt, and sugar in a food processor. Cut in shortening, mixture should be sandy. Add the egg and wine, pulse until dough comes together in a ball. The dough should be pliable; if not add more wine.
Assembly: Separate the dough into 3 balls. Roll the first ball out until it is 1/4 inch thick. With a 6-inch round cutter, cut circles out of all the dough. Remove the edges and save for the next roll. Fill each circle with about 2 1/2 tablespoons in the center of the dough.
Dip a small brush in room temperature water, run the brush around the edge of the dough. Close 1 side to the other forming a half moon shape. Close the edges pressing lightly with the back of a fork.
In a deep saute pan, heat 4 to 5 inches of canola oil on medium high heat to 360 degrees F. Add the empanadas turn over constantly until golden. Remove and drain on paper towels. Serve immediately.
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