In a large mixing bowl, whisk together the flour, granulated sugar, salt, and cinnamon. This is your base for homemade empanada dough, and the quick whisk matters because it keeps the sweetness and salt evenly distributed.
Add the cold cubed butter. Use a pastry cutter (or a fork) to cut the butter into the flour until you have pea-size pieces and some smaller sandy bits. Those visible butter pieces are what make the crust flaky instead of bready, so stop before it looks fully uniform.
In a small bowl, whisk the egg, cold milk, and vanilla extract. Pour into the flour mixture and stir with a fork until shaggy. Then switch to your hands and press just until a dough forms. If it feels dry, add 1 tablespoon cold milk; if it feels sticky, dust in 1 tablespoon flour. This is an easy empanadas recipe, not a wrestling match, so do not over-knead.
Form the dough into a flat disk, wrap tightly, and refrigerate for 10 minutes while you cook the filling. Chilling relaxes the gluten (easier rolling) and firms the butter (flakier bake).