In a large mixer bowl stir together 1 1/2 cups of the flour, yeast, and nutmeg, if desired.
In a saucepan heat milk, sugar, shortening, and salt just till warm (115° to 120°) and the shortening is almost melted, stirring the mixture constantly.
Add the heated mixture to the flour mixture.
Add egg.
Beat with an electric mixer on low speed for 1/2 minute, scraping sides of bowl.
Beat for 3 minutes on high speed.
Using a spoon, stir in enough of the remaining flour to make a soft dough.
Place dough in a greased bowl.
Turn once to grease the surface.
Cover bowl and refrigerate the dough overnight or till well chilled.
Turn the dough out onto a lightly floured surface.
Cover and let rest for 10 minutes.
Roll into an 18x12 inch rectangle.
Cut into thirty six 3x2 inch rectangles.
Cover and let rest for 30 minutes (dough will not be doubled).
In a large deep saucepan or deep fat fryer heat 2 inches of melted shortening or cooking oil to 375°.
Fry the dough rectangles, 2 or 3 at a time, about 1 minute or till golden, turning once.
Drain on paper towels.
Sift powdered sugar atop.