Make the dough: Stir the hot water and ground achiote or achiote paste until dissolved. Add an ice cube to cool the water and set aside. Sift the flour, sugar, baking powder, baking soda and salt into a medium bowl. Add the butter cubes and toss to coat in flour. Using your hands, press butter between your fingers into the flour, so butter pieces become smaller and mix well with the flour. Add the egg, 3 tablespoons of the achiote paste water and extract. Mix until just combined. Cover dough with plastic wrap and refrigerate for at least 30 minutes or until ready to use.
To make the filling bring the milk, orange zest and cinnamon stick to a slow simmer over medium heat. Watch the milk carefully so it doesn’t scorch or boil over. Simmer for 10 minutes; remove cinnamon stick and zest and reduce the heat down to low.
Mix together the yolk, sugar, cornstarch, extract and salt in a small bowl. Add 1 tablespoon of hot milk into the egg mixture, stirring constantly. Repeat with another tablespoon milk. Add the egg mixture to the milk pot and whisk over low heat constantly until the mixture begins to thicken, about 2 minutes. It should be the consistency of mayonnaise. Allow mixture to cool to room temperature for 30 minutes before using.
Preheat oven to 350 F. Remove the dough from the refrigerator and, on a well-floured surface, roll until 1/8-inch thick. Using a 3-inch biscuit or cookie cutter, cut out circles from dough. Collect dough scraps, reroll, and repeat until all the dough is used. You should have about 24 circles.
Fill each circle with about 1 tablespoon cooled filling. Carefully fold the dough in half, taking care to keep the filling inside the pocket. Press the edges shut and then seal using the tines of a fork.
Place the sealed empanadas on a cookie sheet and bake for 15 to 20 minutes, taking care not to let them burn. Serve warm with coffee or tea.