In a large skillet, heat a tablespoon of oil over medium heat. Add the chopped onion and bell pepper and cook until softened, about 5-7 minutes.
Add the minced garlic, cumin, paprika, and cayenne pepper (if using). Cook for 1 minute until fragrant.
Add the shredded chicken and chicken broth to the skillet. Stir to combine and cook for another 5 minutes, allowing the flavors to meld.
Stir in the frozen peas and cook until heated through, about 2-3 minutes.
Remove the filling from the heat and let it cool slightly.
Preheat your oven to 375°F (190°C). Line a baking sheet with parchment paper.
Place about 2-3 tablespoons of the chicken filling onto one half of each empanada disc. Moisten the edges with water and fold the other half over, pressing to seal. Crimp the edges with a fork.
Place the empanadas on the prepared baking sheet. Brush the tops with the beaten egg wash.
Bake for 20-25 minutes, or until the empanadas are golden brown and puffed.