Combine the flour, cocoa powder, sugar, salt, and cubed butter in a large food processor and pulse until coarse crumbs form (about 15 to 20 pulses). You could also use a large bowl and pastry cutter instead, if you don't have a food processor.
Slowly drizzle in the cold milk while pulsing or stirring with a fork, if not using a food processor. The dough will be slightly shaggy and soft, but if it is still looking too dry, add another tablespoon or two of milk. Divide the dough into two discs and wrap tightly in plastic wrap, then refrigerate for 2 hours or up to 5 days.
When ready to make the hand pies, preheat the oven to 400 degrees F.
Roll out one disc of chocolate pie dough on a floured work surface (you can "flour" with cocoa powder to keep things dark, or just use regular flour, which will mostly be absorbed into the pie dough anyway). Cut into pumpkin shapes using a 3 inch pumpkin cookie cutter and transfer to a baking sheet lined with parchment paper or a silpat mat. Spoon 1-2 tablespoons of cherry pie filling right into the center of each pumpkin.
Roll out the second disc of chocolate pie dough and cut out pumpkin shapes using the same cutter. Use a sharp paring knife to "carve" jack-o-lantern faces. Brush the edges of the bottom crusts with egg wash made by whisking 1 egg and 1 tablespoon of water together. I just use my finger to moisten the edges so the top crust will stick. Gently lay the top crusts over the cherry filling, matching edges and crimping with a fork to seal the hand pies.
Bake the hand pies for 15-18 minutes at 400 degrees F, just until the edges are set, but do not overbake. Cool for 10 minutes before serving.