For the hot sauce: Combine the peppers, garlic, onions, salt, and oil in a non-reactive saucepan over high heat. Saute for 3 minutes. Add the water and continue to cook, stirring occasionally, until peppers are very soft and almost all of the liquid has evaporated, about 20 minutes. (Note: this should be done in a very well-ventilated area.) Remove from the heat and allow to steep until mixture comes to room temperature. In a food processor, puree the mixture for 15 seconds, or until smooth. With the food processor running, add the vinegar through the feed tube in a steady stream. Taste and season with more salt, if necessary. Strain and set aside.
For the filling: Heat the oil in a large saute pan set over medium heat. Once the oil shimmers, add the red onion and bell pepper. Cook, stirring until the onion is soft and translucent, about 2 minutes. Season with the salt, pepper, and curry powder, and cook, about 1 minute more. Add the mango and cook to just soften slightly, about 2 minutes. Add the brown sugar and cook, 2 minutes more.
Deglaze the pan with the lime juice and cider vinegar. Cook until the liquid is almost completely gone, 3 to 5 minutes more. Remove the pan from the heat, transfer the mango mixture to a bowl set over an ice bath, and cool to room temperature, stirring occasionally.
Once the mango mixture has cooled, fold in the jumbo lump crab meat and cilantro. Set aside.
For the pastry: Combine the flour, baking powder, and salt in the bowl of a food processor. Pulse for a few seconds, then pour into a large mixing bowl.
Add the shortening and knead it into the flour with your hands until it is crumbly. Add the milk all at once and mix with a spatula until the dough begins to come together. Lightly flour your hands and the countertop and turn the dough out onto the countertop. Knead the dough ball, folding it over 10 to 20 times.
Beat the egg with 1 tablespoon of water and set the egg wash aside. Line a half-sheet pan with parchment.
Divide the dough into 6 equal pieces. Take one piece to roll, keeping the other dough balls covered with plastic wrap while you work. Lightly dust the countertop and dough with flour and roll the dough into a very thin 6 1/2-inch round. Spoon about 1/4 cup of the filling in the center of the pastry. Brush the edges of the pastry with the egg wash and fold the dough in half over the filling. Use the tines of a fork to press and seal the edges, and dock the top of the pocket 4 to 5 times. Transfer to the prepared half-sheet pan and repeat with the remaining dough and filling.
Fill a large Dutch oven with 3 inches of oil. Heat the oil to 375ºF. Line a half-sheet pan with paper towels and top with an inverted wire rack.
Fry the pocket pies 2 or 3 at a time, keeping an eye on the oil temperature, until golden brown, 2 to 3 minutes per side. Remove the pocket pies with a spider or slotted spoon and drain on your paper towel-lined half-sheet pan. Sprinkle the pies with salt, and serve immediately with the hot sauce on the side.