Roast the chile peppers by holding them over an open flame until the skin is completely charred. (Alternate method: Preheat the oven to 400ºF and roast the peppers on a baking sheet for 20 minutes, flipping them over once while roasting).
Place the roasted chiles in a bowl and cover with plastic wrap. Sweat the peppers for 10 minutes.
Peel the chiles then slice them in half, scraping out the seeds and removing the stem.
Dice the chiles and place them in a bowl.
Cook the bacon in a skillet over medium heat until crispy. Remove the cooked bacon and reserve 1 Tablespoon of the grease.
Chop the cooked bacon and add it to the bowl with the diced chilies.
Add the corn, along with the reserved bacon grease, into the pan and saute for 8-10 minutes until it begins to brown slightly.
Add the diced chiles, chopped bacon, shredded Cheddar cheese and chopped scallions into the pan with the corn. Toss to combine.
Refrigerate the corn mixture until it has completely cooled.
Preheat the oven to 400ºF.
Unroll one sheet of the pie dough onto a lightly floured work surface. Use a cookie cutter (or trace around a large drinking glass) to cut out 3½" circles.
Arrange the dough circles on a baking sheet lined with parchment paper.
Add 1 Tablespoon of the corn filling in the center of each dough round then fold the rounds in half. Use a fork to crimp the edges and seal the empanada closed.
Beat the egg yolk with the water. Brush the tops of the empanadas with the egg wash then sprinkle with a pinch of smoked paprika.
Bake until golden, about 15-18 minutes.