In a large bowl, crumble flour and lard with your hands. Press a small well in the center of the flour mixture and add water, egg and salt. Gradually knead by hand into the dough. Cover the bowl and set aside. Meanwhile, prepare the filling.
Heat 2 tablespoons of lard in a large skillet and sauté the onion, bell bell pepper strips and garlic over moderate heat until soft.
Increase the heat, add the pork loin and jamon serrano and cook until lightly browned. Stir the tomato paste into the red wine and deglaze the pork with it. Mix everything well and cook over moderate heat, stirring constantly, until the liquid has evaporated (about 5 minutes). Season with salt, pepper and saffron.
Remove the filling from the heat and let cool to room temperature. Preheat oven to 200°C.
Roll out the dough very thinly (about 1mm) and cut out circles about 15cm in diameter. Spread the filling evenly on the dough circles. Moisten the edges with a little water and fold the discs into a semicircle. Press the opening of the pockets with a fork. Place the ’empanadillas’ on a lightly oiled baking sheet and brush with the egg. Bake in the preheated oven for about 30 minutes until golden brown. Makes about 10 ’empanadillas’.