Preheat the oven to 400° and line a baking sheet with parchment paper. in a small bowl, whisk egg and water together. Set aside.
In a medium saucepan, over low heat, add nectarines, sugar, lemon juice, lemon zest, and cornstarch, stir and let simmer until thickened. Remove from heat.
In a medium bowl, beat cream cheese until fluffy, about 2-3 minutes.
Add sugar and vanilla. Beat for an additional 2 minutes.
Wet the edges of the empanada dough lightly with water.
Place a small amount of cheese in the center of the empanada dough, followed by a tablespoon of nectarine mixture.
Fold dough in half, pinching the edge and crimp the edges with the tines of a fork.
Place hand pies on the prepared baking sheet and brush with the egg wash.
Bake for 15 minutes or until golden brown.