Preheat oven to 400 degrees.
Mix together the chicken, wing sauce, cream cheese, mexican cheese and blue cheese dressing in a bowl; set aside.
Unroll 1 piecrust onto a lightly floured surface and roll into a 15-inch circle.
Using a 3 inch round cookie cutter, cut out rounds.
You can re-roll dough scraps as needed.
Unroll second pie crust and repeat until you have 12-15 circles total.
Place 1 heaping tablespoon of chicken mixture in the center of each round. Be careful not to over fill.
Lightly brush the edges of each round with water.
Fold the dough over the filling into a half moon shape.
Press the edges with a fork to seal.
Repeat with the remaining rounds and chicken mixture.
Beat the egg with 1 tablespoon of water to make an egg wash.
Brush the egg wash over the top of each empanada.
Arrange empanadas on a rimmed baking sheet.
Bake for 15 minutes.