Place one sheet of puff pastry on a baking sheet. For best results, line the sheet with parchment paper to prevent sticking.

Prick the pastry with a fork to keep it from puffing up. Spread a layer of tomato sauce over it and sprinkle with a little oregano.

Add a layer of sliced ham, then a layer of sliced cheese, and another layer of ham. Place the second sheet of puff pastry on top and seal the edges with a fork.

Beat the egg and brush it over the entire empanada using a pastry brush. If you like, sprinkle a little oregano and some sesame seeds on top.

Bake in a preheated oven at 350°F (180°C) for about 15 minutes, or until the pastry is cooked through and golden brown.