When cool enough to handle, scoop the pumpkin or squash flesh out of the skin and puree it in a food processor. Turn the puree out into a medium-size mixing bowl and combine it with the chorizo, thyme leaves, hot sauce, paprika, and cinnamon. Season lightly with salt and pepper and reserve.
Lightly dust a work surface with flour and lay out one pie crust. Roll it out slightly so it's the thickness of a nickel. Cut into eight evenly sized triangles, just like you’d cut a pie. Transfer triangles to a baking sheet and repeat the rolling and cutting with the remaining pie crust. You should have 16 bottoms on a baking sheet and 16 tops when you're all done.
Divide the filling among the triangles on the baking sheet leaving a little room at the edges to seal the pockets. Brush the edges of each triangle with egg wash then top each triangle with the remaining wedges of dough, pressing lightly around the perimeter to seal the filling inside. If you like, take a fork and lightly press the very ends of the tines into the border of each pocket to give it a fancy finish.