Add pumpkin, piloncillo, cinnamon and water to large pot. Cook over medium heat, covered, 15-20 minutes, or until tender.
Remove pumpkin and scoop out flesh. Place in bowl and mash with piloncillo syrup. Set aside.
Whisk egg and milk in small bowl. Set aside.
Place pie crust on wooden surface and cut into 4-inch rounds with small bowl or dough cutter.
Fill dough rounds with 1½ tsp. pumpkin mash. Brush edges with egg wash, fold dough over to form empanada and seal sides by pressing down with a fork. (A dough press can also be used.)
Place empanadas on parchment-lined baking sheet. Brush tops with the egg wash and sprinkle with colored sugar. Bake 15 minutes, or until lightly browned.
Notes
Piloncillo cones can usually be found in Hispanic grocery stores, the Hispanic section on many grocery stores, or online.