Make Empanada Dough:
In a stand mixer cream the shortening and then combine the dry ingredients. In a separate bowl whisk the eggs and milk and add to dough mixture until you have a soft dough. Remove dough from mixer and add flour to dough if sticky. Split the dough in half, wrap in plastic wrap, and refrigerate for about 20 to 30 minutes.
Assemble and Bake Empanadas:
Preheat the oven to 350 degrees F.
On lightly floured surface, roll chilled dough 1/8 inch thick. Cut out 4-inch circles.
Place a small dollop of preserves on one half of each of the dough circles. Wet the bottom edge of the circles with water to help seal the two halves. Fold over the dough to cover filling and seal off the edges with a fork by pressing down along the edges. This also makes for a pretty pattern when baked.
Repeat with remaining dough and filling. Brush each empanada with evaporated milk and sprinkle with raw sugar. Puncture two slits on the top of each empanada with a fork to allow steam to escape while baking.
Spray a large cookie sheet with cooking spray; place the empanadas on the cookie sheet and bake for 15 to 20 minutes on middle rack in the oven. If after 15 minutes you notice the bottoms of the empanadas starting to brown, move the cookie sheet and set the oven to broil and bake for 1 to 2 minutes, until golden brown.