Preheat the oven to 350°F and lightly spray a 9x13-inch baking dish with nonstick cooking spray.
In a large bowl, cut the shortening into the flour using a pastry blender or two forks. The goal is to get the shortening cut into tiny pea-size pieces.
Add the water and stir until combined. Use your hands to gently knead the dough until it holds together.
Turn the dough out onto a lightly floured surface and roll the dough into a thin rectangle that is about 10x16-inches. Spread the soft butter to cover the dough then sprinkle with the sugar and nutmeg (or cinnamon). Carefully and tightly roll the dough up jelly roll style and pinch to seal the long edge. Cut the dough into 12 even rolls and place them into the prepared dish.
Make the sauce:
Combine the milk and sugar in a small pot over medium high heat. Stir until the milk just begins to bubble. Remove from the heat and stir in the vanilla. Pour the mixture over the rolls.
Bake uncovered for 35 to 45 minutes or until the rolls are brown on the tops. Serve warm.
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