If you were a Colombian, you would have your version of an empanada. If you are an Argentinean, you might find a dough that's baked and has a butter sheen on it. And then in Ecuador, you'll find more crispy-fried empanadas. So, yeah, every culture has their own version of empanadas.
There a great ethnic cuisine available to you in Chicago.
Don't be afraid to adapt new ingredients into your own techniques, and traditional ingredients into new recipes.