In a small bowl, combine the cornstarch and cold water and stir until dissolved. Set aside.
In a large saucepan, combine the blackberries, granulated sugar, lemon juice and zest, vanilla, and salt. Cook over medium heat, stirring often and occasionally smashing the berries, until the berries are completely broken down and the mixture thickens into a syrup-like consistency, 15 to 18 minutes. Stir in the cornstarch mixture and continue cooking until the mixture thickens into a jam-like consistency that coats the back of the spoon, 1 to 2 minutes.
Remove from the heat and let cool at room temperature for at least 20 minutes.
Line a baking sheet with parchment paper or a nonstick baking mat. Crack the egg into a small bowl and whisk until no streaks of yolk remain.
Unwrap one disk of dough and set it on the floured surface.
Dust the top of the dough with flour and roll out into a 9 by 12-inch / 23 by 30cm rectangle about ¼ inch thick.
Trim the edges so they are straight and cut the rectangle into a 3 by 3 grid to make nine rectangles that are roughly 3 by 4 inches / 7.5 by 10cm. Transfer the rectangles onto the prepared baking sheet, spacing them at least 1 inch / 2.5cm apart. Spread 2 tablespoons of the filling in the center of each rectangle, leaving a ½-inch border around the edge. Repeat the rolling and cutting process with the second disk of dough to make 9 more rectangles.
Brush the outside borders of the filled rectangles with the egg wash (reserve the remaining egg wash) and place the unfilled rectangles on top. Crimp the edges together with a fork and prick the tops a few times. Transfer the pan to the freezer and freeze for 30 minutes.
Position a rack in the middle of the oven and preheat to
375°F / 190°C. Brush the pies with the remaining egg wash. Bake, rotating the pan halfway through baking, until light golden brown, 28 to 32 minutes. Remove from the oven and let cool completely on the baking sheet.