If puff pastry is frozen remove from the box, and unroll onto the counter. Cover with a clean kitchen towel and let thaw while you prepare the chicken.
Place chicken, half the onion slices, bay leaf, salt, and peppercorns in a large, deep frying pan. Cover with 3 cups of water and bring to a simmer. Simmer gently until chicken is cooked through, about 10 minutes.
Remove chicken from poaching liquid to cool. Strain liquid into a heatproof container and set aside. Discard solids.
While chicken is cooling make the Mojo sauce; heat olive oil in a small saucepan over medium-low heat. Add garlic, and cook gently until just starting to brown. Add remaining ingredients and bring to a simmer. Simmer 2-3 minutes, cover and keep warm.
Once chicken is cool enough to handle, shred into bite-sized pieces.
Heat oil in a large frying pan over medium heat. Add remaining onion slices and season with salt and pepper. Cook, stirring occasionally, until soft and starting to brown, about 10 minutes.
Add chicken, chipotles, saffron, and ½ cup of the poaching liquid. Bring to a simmer and cook until most of the liquid has evaporated and ingredients have combined, about 2 minutes.
Heat oven to 400°F and arrange rack in the middle. Line 2 baking sheets with parchment paper and set aside.
On a lightly floured surface, roll out puff pastry sheets to about ¼-inch thickness. Using a 6-inch plate, cut out as many circles as possible in one sheet. Repeat with other sheet of puff pastry. Gather any scraps and re-roll until you have 10 (6-inch) circles, lightly dusting with flour as needed.
Place about ¼ cup of filling in the middle of each circle and fold dough over to cover. Seal with tines of a fork and place the empanadas on the baking sheets.
Beat egg with 1 tablespoon water and brush the tops and sides of empanadas with the egg wash. Bake empanadas until golden brown and crisp, about 15 minutes. Remove and serve immediately with Mojo sauce.
