Set filling aside and let cool, or refigerate overnight, well covered. Make sealer and glaze by mixing egg yolk and cold water together. Knead scraps and reroll, repeat making squares until all the dough is used. Put one tablespoon of the filling into the center of each square, put shrimp on top, moisten edges of dough with sealer and form a triangle. Press edges together with a fork to seal.
Place empanadas on a baking sheet lined with parchment paper.
Brush with remaining glaze and bake for 25 minutes, or until golden. Transfer to a rack to cool slightly, serve warm.