Pulse flour, sugar, and salt in a food processor. While the food processor runs, add olive oil. Keep the food processor running with half the water. Redistributing dry or wet dough requires stopping the food processor and scraping the bottom and sides.
Hand-knead the dough for 30 seconds on a clean surface until it comes together and no dry flour remains. Smooth, non-sticky dough is ideal. Cover the dough and rest while making the apple filling.
Cook olive oil in a large nonstick saute pan over medium-high heat. When the oil shimmers but before smoking, add an apple slice to test the temperature. The apple should softly sizzle in a heated pan. Adjust heat as needed.
Remove the pan from heat. Toss apples with lemon juice, vanilla essence, and zest. Let cool before handling.Set an oven rack in the middle and warm to 400°F. Cover a baking sheet with parchment or silicone.
Divide dough into 12 equal pieces. Cover the other dough pieces to avoid drying. Work with one at a time. Roll each piece of dough into a 5-inch round using a rolling pin.
Place 2 heaping teaspoons of apple filling in the dough center. Fold and twist one end of the empanada using your thumb and fingers, rolling the two sides toward the center. Gently squeeze the rolled edge to secure.
Arrange empanadas evenly on the baking sheet. Beat one egg with a tablespoon of water in a small bowl. Brush egg wash and sugar on empanadas. Bake 25 minutes till browned.