You can roast and peel the poblano chile up to 1 week before you make this filling. Letting the filling chill before assembling the empanadas congeals the liquids--an essential step to ensuring the pies are properly formed.
Cut chile in half lengthwise; discard seeds and membranes. Place halves, skin sides up, on a foil-lined baking sheet; flatten with hand. Broil 8 minutes or until blackened. Wrap chile in foil; let stand 10 minutes. Peel and chop chile.
Heat oil in a large nonstick skillet over medium-high heat. Add onion and bell pepper; sauté 2 minutes or until onion begins to soften. Add garlic; sauté 30 seconds or until fragrant. Add zucchini, squash, corn, cumin, and thyme; sauté 2 minutes or just until vegetables are bright and crisp-tender. Remove pan from heat. Stir in poblano, mascarpone, salt, and pepper; spread mixture evenly on a large baking sheet. Cool. Remove and discard thyme, and stir in Cotija cheese and queso fresco; cover and chill at least 2 hours or up to overnight.
Preheat oven to 400°. Line 2 large baking sheets with parchment paper.
Combine 1 teaspoon water and egg in a small bowl. Divide cold filling into 15 equal portions (about 3 generous tablespoons each). Keep filling chilled while making each empanada. Moisten edges of 1 Whole-Wheat Empanada Dough disk with egg mixture; place 1 portion of cold filling in center. Fold dough over filling to form a half-moon shape. Gently press edges between thumb and index finger to form a border; crimp along border using fork tines to seal. Place empanada on prepared pan. Repeat procedure with remaining dough disks and filling portions. Lightly brush tops of empanadas with egg mixture; sprinkle with cumin seeds, if desired. Bake at 400° for 23 minutes or until tops are golden brown, rotating pans in oven halfway through baking.