Put powdered sugar in a medium bowl.
Heat the oil over medium high heat in a medium heavy pot or deep fryer.
Brush the edges of each wonton wrapper with egg. Place unwrapped chocolate candy piece in the middle of each wrapper.
Lift up the middle points of the two opposite sides so they meet. Squeeze lightly together at the top of the candy piece. Bring up the middle of the other two sides to close the wonton. Press the edges to firmly seal.
When oil is hot, fry wontons, four at a time, until light golden brown and crisp, about two minutes, flipping occasionally. With a slotted spoon, transfer the wontons to the bowl of powdered sugar and toss to coat. Serve immediately.