For the empanada dough: In a food processor, pulse flour, lard and salt until the mixture resembles sand. In a separate bowl, beat together egg, water and vinegar with a fork. Add to flour mixture, pulsing until just incorporated. Turn out onto plastic wrap and chill at least 1 hour or up to 24 hours.
For the filling: Preheat the oven to 425 degrees F. Place the corn on a baking sheet and roast in the oven about 12 to 15 minutes. Remove, cool and cut off the kernels with a knife.
In a medium skillet over medium heat, add 2 tablespoons of the oil followed by the bell pepper, garlic and shallot. Cook, stirring frequently, about 3 to 4 minutes, then add 1/2 cup wine, tomato paste, salt and pepper. Bring back to a simmer and continue cooking until liquid has reduced by half. Place into a blender and puree. Set aside.
In another medium skillet over medium-high heat, add remaining 2 tablespoons olive oil. When just smoking, 1 to 2 minutes, add shrimp. Season with salt and pepper. Add remaining 1/2 cup wine and bring to a simmer. Continue to cook until shrimp are opaque and liquid has reduced slightly, 3 to 4 minutes. Remove from heat, cool, and roughly chop the shrimp.
In a bowl, mix together the pureed bell pepper mixture, the corn and shrimp. Chill about 30 minutes.
Preheat oven to 350 degrees F.
To assemble: In a small bowl, beat egg with 1 tablespoon water and a pinch of salt. On a lightly floured surface, roll out dough to 1/16-inch thick. Using a 4-inch round cookie cutter, cut out 8 rounds of dough. Brush edges with egg wash. Place 1 heaping tablespoon of filling in middle of each round, and fold the dough over to enclose the filling. Crimp edges with a fork and place on a baking sheet. Brush tops with more beaten egg. Bake until golden brown,10 to 12 minutes.