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You might try searching "piroshki" and "pierogi" on the site to see if you find anything a little similar!
Pierogies are nothing like a filo- or flaky dough. They're more like a ravioli....an egg pasta wrapper. Piroshki are what the OP is looking for. They're filled and baked, as they said, similar in texture to baklava. Pierogies are boiled, then eaten as is or pan fried.