In the bowl of a food processor, combine the flour, baking powder and salt. Pulse for a few seconds and then pour into a large mixing bowl.
Add the shortening and knead it into the flour with your hands until it is crumbly.
Add the milk all at once and mix in with a spatula until it begins to come together.
Lightly flour your hands and the countertop and turn the dough out onto the countertop.
Knead the dough ball, folding over 10 to 20 times. Using a rolling pin roll the dough to 1/3 to 1/2-inch thickness, then cut into rounds using a 2 1/4-inch ring.
Roll each round as thinly as possible or to 5 to 6 inches in diameter. Spoon 1 to 2 tablespoons of filling onto the dough, brush the edges of half of the dough lightly with the egg wash, fold over and seal the edges together with the tines of a fork, dipping it into flour as needed.
Gently press down to flatten and evenly distribute the filling. Dock the top of the pies with a fork.
Heat vegetable oil in a deep-fryer or a large heavy pot to 375 degrees F. Once hot, add 1 to 2 pies at a time and fry until golden brown, approximately 3 to 4 minutes. Drain on a cooling rack.
Once all pies have been fried, place sugar in a bowl. Roll each pastry in the sugar and serve.