Easy Chicken Empanadas with Garlic Mojo Sauce

Name: Easy Chicken Empanadas with Garlic Mojo Sauce
Ingredients: 20 ounces boneless, skinless chicken thighs; 1 large onion, thinly sliced; 1 bay leaf; 1 teaspoon kosher salt; ½ teaspoon black peppercorns; 2 tablespoons olive oil; 2 chipotles en adobo, chopped; ½ teaspoon saffron threads; all purpose flour, for dusting; 17.3 ounce package all-butter puff pastry; 1 large egg; 1/3 cup olive oil; 6 cloves garlic, chopped; ½ cup fresh squeezed orange juice (about 2 oranges); ½ cup fresh squeezed lemon juice (about 4 lemons); 1 teaspoon ground cumin