On the opposite side of the griddle, heat 2 tsp oil on medium low. Saute walnuts, mushrooms, bell pepper, and onions until soft. Add garlic and Sazon packet until well combined. Remove from the griddle and add to a medium bowl. Stir in shredded cheese.
Place 1 tbsp of the mixture on each empanada dough disc, fold in half, and seal edges with a fork.
Fry empanadas in preheated vegetable oil for 6-8 minutes or until golden. Remove from oil and place on a paper towel to drain.
For the dipping sauce, combine sour cream, adobo sauce, honey, lime zest, and juice. Enjoy!