Vanilla Bean Dough: In a food processor, pulse flour, salt, and sugar until combined. Add cold butter and pulse until the mixture resembles coarse crumbs. Gradually add ice water, pulsing until the dough just comes together. Stir in vanilla bean seeds. Form into a disc, wrap in plastic wrap, and chill for at least 30 minutes.
Cocoa Dough: Repeat the process with the cocoa dough ingredients, pulsing flour, salt, cocoa powder, and sugar, then adding butter and ice water. Form into a disc, wrap in plastic wrap, and chill for at least 30 minutes.
Marbleizing The Dough: On a lightly floured surface, roll out each dough disc into a rectangle. Place one rectangle on top of the other. Gently press them together. Roll the combined dough into a larger rectangle. Fold the dough into thirds like a letter, then rotate 90 degrees and fold again. Wrap in plastic wrap and chill for another 30 minutes. Repeat the rolling and folding process one more time for a more pronounced marble effect.
Coconut-Chocolate Filling: In a medium bowl, combine shredded coconut, rolled oats, chocolate chips, sweetened condensed milk, and chopped nuts (if using). Mix well.
Spiked Brown Sugar Caramel Sauce: In a medium saucepan, combine brown sugar and butter. Melt over medium heat, stirring constantly, until the sugar dissolves and the mixture is smooth. Pour in heavy cream (it will bubble vigorously). Whisk until smooth. Reduce heat to low and stir in rum or bourbon (if using) and sea salt. Cook for 2-3 minutes, stirring constantly, until the sauce thickens slightly. Remove from heat and let cool slightly.
Assembling and Baking Empanadas: Preheat oven to 375°F (190°C). Line baking sheets with parchment paper. On a lightly floured surface, roll out the chilled marbleized dough to about 1/8-inch thickness. Use a round cutter (about 4 inches in diameter) to cut out circles. Place about 1 tablespoon of coconut-chocolate filling in the center of each circle. Fold the dough over to form a half-moon shape. Crimp the edges with a fork to seal. Brush the empanadas with egg wash. Bake for 20-25 minutes, or until golden brown.
Serving: Serve warm empanadas with the spiked brown sugar caramel sauce for dipping.