Whisk sugar and cornstarch together in a large bowl. Add marionberrys, lemon juice and vanilla. Stir gently to coat berries with the sugar mixture. Let sit for 15 minutes, stirring once.

Fill a deep pot halfway with oil and heat to 365 degrees F. Roll the dough out ⅛-inch thick on a lightly-floured surface. Cut out eighteen 4½-inch-diameter circles, gathering and re-rolling the dough if necessary. Beat the egg in a small bowl with 1 tablespoon of water. Place about 1 heaping tablespoon of the marionberry filling into the center of each dough round. Brush the edge with some egg mixture and fold the dough over to make a half-moon shape. Press out the air and seal the edges with a fork. Repeat with the remaining filling and dough.

Place 4 to 6 pies at a time into the hot oil and cook until golden brown, flipping as needed, about 5 minutes. Transfer to a paper towel-lined plate. Serve warm or at room temperature.