Preheat oven to 400 degrees F (200 degrees C). Grease 2 baking sheets with cooking spray.
Arrange pastry discs on a flat work surface. Dab a little water around the rims. Place some ham and Roquefort cubes in the center; fold pastry over and press with a fork to seal.
Transfer empanadas to the prepared baking trays. Brush beaten egg over the tops.
Bake in the preheated oven until golden brown, about 20 minutes.
