In a heavy medium saucepan add the piloncillo, water and ground cinnamon. Over medium high heat, bring the water to a boil, stirring the piloncillo often until it has melted. Lower the heat to a gentle boil and cook until the syrup has thickened, about 10 minutes. Remove from heat and set aside to cool.
In a large mixing bowl, add the flour, yeast, baking powder, baking soda and salt. Whisk to combine ingredients.
Place the flour on a clean work surface and make a nest.
Add the egg, vegetable oil, vanilla and cooled piloncillo to the center of the well. Use a fork to gently break up the eggs, keeping the flour walls intact as best as you can. Use your hands to gently bring the flour inward to incorporate. Continue working the dough with your hands to bring it together into a ball.
Knead the dough for 8 to 10 minutes. At the beginning, the dough should feel wet, but stick with it! It might not feel like it’s going to come together, but after 8-10 minutes of kneading, it should become cohesive and smooth.
Note: If the dough still seems too dry, sprinkle your fingers with a tiny bit of water to incorporate. If it’s too sticky, dust more flour onto your work surface. Shape the dough into a flat square disk, wrap in plastic wrap, and and refrigerate the dough for 30 minutes.
Preheat oven to 350 F.
Line 2 large baking sheets with parchment paper and set aside.
Lightly flour a clean surface and roll out the dough to ¼ inch thick. With a pig shape cookie cutter, cut out cookies and transfer to the prepared baking sheet.
Bring together the scraps, re-roll the dough and cut out more cookies.
In a small bowl, beat the remaining egg with one tablespoon of water. Then brush over the cookies lightly.
Bake for 10–12 minutes, or until the edges are golden brown. Let the marranitos cool before serving.