Grate the mozzarella and cheddar cheeses and place them in a medium bowl. Add half of the Parmesan cheese and 1/2 cup of the marinara sauce and mix well.

Make the dough by combining the dry ingredients in a mixing bowl starting with the all-purpose flour, sugar, baking powder, and salt. Mix well using a wire whisk. Cut the butter into small thin pieces place in the mixing bowl with the dry ingredients.(the butter should be cold and solid before doing this)

Add water gradually and mix all the ingredients thoroughly until a dough is formed. You may use a pastry blender to ease the process. Divide the dough into individual pieces by grabbing a piece from the whole mixture and rolling it in your hand until a spherical shape is formed. Do this until all the dough is consumed. Set aside in a cool place for at least 20 minutes

Flatten the spherical dough by pressing it with your palm against a flat surface. Use a rolling pin to flatten it fully while creating a round shape. Arrange about a quarter to half a cup of filling (the chicken that you cooked in the first few steps) at the middle of the flattened dough. Fold the dough so that opposite ends meet (you should have formed a half moon shaped dough)then press the edges and seal.

Place 1 tablespoon of the cheese filling and one pepperoni, some sausage and some mushroom (optional, you can add 1-2 pieces of onion or peppers) on the middle of the dough circle. Gently fold the circle in half to form a half-moon shape, sealing the edges firmly together with your fingers. Fold the edge over itself decoratively. Place the empanada on a cookie sheet. Repeat with remaining balls of dough.

Preheat the oven to 400 F. Mix egg yolk with 1 tablespoons water. Lightly brush egg mixture over tops and sides of the empanadas. Sprinkle empanadas with remaining grated Parmesan cheese. Place empanadas in the oven and bake until puffed, shiny, and golden brown—about 20 to 25 minutes. Serve warm with marinara sauce for dipping.