For the dough: In a large bowl, whisk together the melted butter, water, and egg until combined. Add the flour and the salt. Using a silicone spatula or wooden spoon, gradually stir the mixture together until a sticky dough starts to form. Turn out onto a well floured surface and knead until smooth, about 2 minutes. Wrap in plastic wrap and refrigerate for 1 hour.

For the filling: In a large skillet, heat the oil over medium-high heat until shimmering. Add the cumin, and cook, stirring constantly, until very fragrant, about 1 minute. Add the onion and garlic. Cook, stirring frequently, until starting to soften, about 5 minutes. Stir in the bell pepper and cook until softened, about 5 minutes more.

Add the ground beef. Cook, stirring occasionally, until browned, about 6 minutes. Reduce the heat to medium-low. Stir in the olives, jalapeño, tomato paste, oregano, thyme, smoked paprika, salt, and pepper. Let simmer for a few minutes. Taste and adjust seasoning if needed, adding the cayenne if more spice is desired. Transfer to a plate and let cool completely.

Preheat the oven to 375°. Roll the dough to be about ⅛-inch thick. Using a 4-inch round cutter (or a bowl about 4 inches in diameter), cut circles from the dough. Dip your finger in water and run it around the edge of each dough circle to moisten it. Place 1 ½ tablespoons of filling in the center of each dough round. Fold the rounds in half, over the filling, until the edges meet up. Use a fork dipped in flour to crimp the edge closed. Gather any remaining dough scraps and knead them to come together in one piece. Re-roll the dough and repeat cutting, filling and crimping. (Only re-roll one time).

Place the empanadas on 2 parchment lined baking sheets about 1 inch apart. Brush the tops of the empanadas with the beaten egg. Bake until golden brown, 25 to 30 minutes.