For Filling: In a large nonstick skillet over medium-high heat add pineapple. Stir in grated piloncillo, lemon juice, and cinnamon. Stir to combine. Then bring to a boil. Reduce heat and cook for 20 to 25 minutes, or until most of the liquid is absorbed.
In a small bowl, combine cornstarch with water. Stir or whisk until there are no lumps. Add cornstarch mixture to pan, stirring to combine. Cook an additional 5 minutes, then remove from heat and allow to cool completely. The filling will become firmer while it cools. Use to fill empanadas. This can be made up to one week in advance and store covered in the fridge.
For Dough: With a food processor, add flour, sugar, baking powder and salt. Pulse to combine. Add butter, quickly pulse to combine, then slowly add warm milk, processing until dough comes together, add more milk if needed.
Carefully turn out dough onto a lightly floured work surface; knead until smooth. Cover; allow to chill 30 minutes in the fridge before rolling out.
To Assemble Empanadas: Heat oven to 375 degrees. In a small bowl whisk together egg with milk. In another bowl combine sugar and cinnamon.