In large mixer bowl, combine 1 1/4 cups of the flour, the yeast, and cheese.
In saucepan, heat water, sugar, vegetable shortening, and salt just until warm; stir occasionally to melt vegetable shortening.
Add to dry ingredients in mixer bowl; add egg.
Beat at low speed of electric mixer for 1/2 minute; scrape sides of bowl constantly.
Beat 3 minutes at high speed.
By hand, stir in enough of the remaining flour to make a soft dough.
Turn out on lightly floured surface; knead until smooth.
Place in lightly greased bowl; turn once to grease surface.
Cover; let rise until double, 1 1/4 hours.
Punch down; divide in half.
Cover; let rest 10 minutes.
Shape each half in roll 12 inches long.
Twist the two rolls together in rope fashion; pinch ends together.
Place in greased 9x5x3 inch loaf pan.
Cover; let rise until double, 1 1/2 hours.
Bake at 375° for 35 minutes.