In a large skillet, heat the oil over medium heat. Once hot, but not smoking, stir in the onion and cook until it is soft and translucent, about 5 minutes. Add the garlic, stir, and cook until fragrant, about 1 minute. Stir in the chopped tomatoes and cook, stirring often, until completely cooked, softened and mashed up and pasty looking, about 15 minutes.
Toss in the tuna and with a spatula or fork, mix it well with the tomato mix, making sure there are no big chunks. Add the bay leaves, sugar, oregano, thyme, salt and mix well. Add the raisins, olives, pickled jalapenos, capers, fresh parsley and mix well. Cover the skillet and reduce the heat to medium-low. Cook for about 10 minutes, the mixture should be very moist but not too watery. Taste for salt and add more if needed. Remove the bay leaves and set aside.
Line two baking sheets with parchment paper. Preheat oven to 350. In a small mixing bowl beat the egg along with the water.
Gently flour your countertop and rolling pin and roll out one thawed sheet of pastry to about 1/8” thick. Cut out 5” to 6” rounds with a cookie cutter or anything that can act as a mold. With a pastry brush, brush the edges of the rounds with the egg wash. Spoon about 2 tablespoons of tuna in the center of each round, fold as a turnover or quesadilla to make a half moon, pushing the tuna inside of the empanada at the same time as you press the edges of the dough to seal it. Gently press the edge with the tip of a fork, this will act as decoration but also help seal the edges. Place the empanada on a lined baking sheet and repeat with the rest of the rounds and the second sheet of puff pastry. When all empanadas are formed, brush their tops with the remaining egg wash.
Place them in the oven and bake for about 30 minutes, until crisp, puffed up and golden brown.