In a large mixing bowl, combine the flour, dry white wine, vegetable oil, and water. Mix until a soft dough forms. Knead until smooth, cover with a towel, and let rest for 30 minutes.
While the dough rests, prepare the filling. In a food processor, blend the chestnuts, granulated sugar, melted chocolate, coffee, cocoa powder, vanilla extract, orange zest, and cinnamon until a thick paste forms.
Divide the rested dough into manageable portions. Roll out each portion thinly (about 1/8 inch thick) using a rolling pin or pasta machine. Cut into small rectangles or circles.
Place a spoonful of the chestnut filling in the center of each piece of dough. Fold the dough over to enclose the filling, forming a half-moon shape. Press the edges firmly to seal, and crimp with a fork if desired.
To fry: Heat vegetable oil in a pan over medium heat. Fry the cookies in batches until golden brown on both sides. Drain on paper towels.
To bake: Preheat the oven to 375°F (190°C). Brush assembled cookies with egg wash and place them on a parchment-lined baking sheet. Bake for 15–18 minutes, or until golden.
Let the cookies cool slightly, then dust generously with powdered sugar before serving.