In a shallow dish, marinate chicken in salad dressing at room temperature for 30 minutes.
Preheat broiler for 5 to 10 minutes. Arrange chicken on unheated rack of broiler pan. Place pan under broiler so surface of chicken is 4 to 5 inches from heat. Broil 12 to 15 minutes or until chicken is tender and no longer pink, turning pieces after 6 minutes.
To grill: Place chicken breast halves on grill rack directly over medium coals. Grill, uncovered, for 15 to 18 minutes or until no longer pink, turning chicken after 8 minutes. Cool slightly.
Chop or shred chicken. In a bowl, combine chicken, rice, cheddar cheese, salsa, red pepper, green pepper, olives, onion, sour cream, and jalapeno pepper.
Place a sheet of puff pastry on a lightly floured surface. Roll to a 13-inch square. With a 3-inch round cutter, cut pastry into 16 rounds. Place a generous teaspoon of chicken mixture slightly off center on each round. Brush edges of pastry circles with cold water. Fold circles over filling into half-moon shapes. Pinch edges with fingers or a fork to seal tightly. Prick with a fork. Place on a lightly greased baking sheet. Combine the egg and the 1 tablespoon water; brush over the empanadas. Repeat with the remaining pastry and filling. If you like, add fresh herb to the top before baking.
Bake empanadas in a 400 degree F oven for 12 to 15 minutes or until golden brown. Serve warm. Makes 48 empanadas.