COMBINE sweetened condensed milk and yogurt in a medium saucepan; heat over low heat. Add shredded coconut and pineapple.

COMBINE cornstarch and water in small bowl; stir to dissolve. Gradually stir cornstarch mixture into the condensed milk mixture; stir frequently until combined. Increase heat to high; bring to a quick boil. Reduce heat to low; cook, stirring occasionally, for 2 to 3 minutes or until mixture has thickened (it will continue to thicken as it cools). Set aside to cool for 15 to 20 minutes.

PREHEAT oven to 450° F. Grease large baking sheets.

PLACE 1 1/2 heaping tablespoons of pineapple/coconut mixture in center of each empanada disc. Brush edges with egg; fold in half and crimp edges with fork to seal. Place empanadas on prepared baking sheets; brush with egg.

BAKE for 15 minutes or until golden. Serve warm.