In a medium bowl, beat the water, egg, egg white, and vinegar together. Set aside.
In a separate large bowl, whisk together 3 cups of flour and salt.
Cut the shortening into the flour mix with a pastry blender or two butter knives. Make a well in the center of the flour mix and pour the liquid ingredients from the first bowl into the center.
Mix the wet and dry ingredients with a fork until it becomes stiff.
Turn the dough out onto a lightly floured surface. Knead it just until all the flour is incorporated and the dough is smooth.
Wrap the dough in plastic and refrigerate for at least 1 hour, but never more than 24 hours. If you want to keep the dough longer than 24 hours, you can freeze it.
In a saucepan, bring the tomato sauce and sofrito to a simmer over medium heat.
Pat the shrimp dry. Salt and pepper to taste.
Place the shrimp into the saucepan with the tomato sauce mix. Add the cheese and stir thoroughly.
Cook the shrimp until it turns pink, about 3 to 5 minutes. Do not overcook the shrimp because it will become rubbery.
Remove the pan from the heat and allow to cool before filling the empanadas.
Place the empanada dough on a floured counter top. Roll the dough out 1/8-inch thick. Cut the dough into circles with round cookie cutters or biscuit cutters. For large empanadas use 6-inch cutters for smaller ones use 3-inch cutters.
Place the filling by the spoonful into the center of the circles. Fold the dough over the filling into a half-circle shape and crimp the edges with a fork. If the edges won’t stay sealed you can dip the fork in water before crimping or use an egg wash. Do not overfill the empanadas. They will burst and you will lose your filling in the oil.
Fry the filled empanadas at 375 F for 1 to 2 minutes per side. They should be lightly golden. Drain on paper towels and let cool. An alternative to frying: the empanadas can be baked in an oven at 375 F for 15 to 20 minutes until lightly golden.