How to Make It
Heat the olive oil in a large skillet. Add the onion and bay leaf and cook over moderate heat, stirring occasionally until the onion is softened, about 12 minutes. Add the tomatoes and pimentón and cook, stirring occasionally, for 10 minutes. Remove from the heat and let cool. Discard the bay leaf.
In a bowl, lightly break up the tuna. Add the olives, chopped egg and parsley and stir in the tomato-onion mixture. Season with salt and refrigerate until cool, about 30 minutes.
Unfold the puff pastry sheets on a lightly floured work surface. Using a 4 1/2-inch biscuit cutter, cut the pastry into 12 rounds. Using a rolling pin, lightly roll out each round to a 5-inch diameter.
Spoon 2 tablespoons of the tuna filling onto 1 side of each pastry round. Fold the pastry over the filling and press the edges to seal decoratively with the tines of a fork.
Line 2 baking sheets with parchment paper and set 6 empanadas on each sheet. Cover with plastic wrap and refrigerate for at least 30 minutes, or until chilled.
Preheat the oven to 400° and place 2 racks in the center. In a small bowl, whisk the egg with the milk. Lightly brush the empanadas with the egg wash. Bake for 30 minutes, or until the empanadas are deep golden brown. Let cool for 5 minutes before serving.