First, make the filling: Sauté the finely chopped onion in butter (always add a tablespoon of oil with the butter). If using shrimp with shells, set aside for now; if not, add the shrimp now.

Peel the shrimp and sauté the bodies and heads, mashing them with a fork. Add a splash of brandy and flambé. Pour this into a little milk and let it infuse. Blend lightly with an immersion blender, then strain through a fine mesh strainer or cheesecloth. (You can skip this step if using only peeled shrimp, but it tastes much better this way.)

For the dough: Bring the water to a boil with the oil or butter, a little parsley, lemon peel, and salt. Remove the parsley and lemon peel after boiling.

Take off the heat and add the sifted flour all at once. Stir well, like making choux pastry. Turn the dough out onto a countertop and knead while still hot.

Take pieces of dough and roll them out very thin with a rolling pin. Cut into medium-small rounds, fill, and fold into empanadas. Dip in beaten egg and breadcrumbs. (At this point, you can freeze them and fry when ready to serve.) Fry until golden brown.