Monte Cristo Empanadas with Creamy Dijon Dipping Sauce

Name: Monte Cristo Empanadas with Creamy Dijon Dipping Sauce
Ingredients: 1 cup well chopped or diced baked ham (deli ham can be substituted); 1 cup well chopped roast turkey (deli turkey can be substituted); 3/4 cup shredded Swiss cheese; 1 tablespoon Dijon mustard; 1 tablespoon mayonnaise; 15-20 frozen empanada wrappers (thawed); 1 egg (beaten); 2 inches of peanut (*See Notes for baking instructions., canola, or vegetable oil in a high-sided, heavy-bottomed skillet); confectioner's sugar for dusting the finished empanadas; 3 tablespoons mayonnaise