In a jug combine warmed Whole Milk (1 1/4 cup) and Instant Dry Yeast (1 package), mix and let it foam up for 5-10 minutes.
In the bowl of a standing mixer fitted with a hook attachment, stir together All-Purpose Flour (3 1/2 cup), Caster Sugar (1/3 cup), Salt (1 teaspoon) and Ground Nutmeg (1/4 teaspoon).
Add Vegetable Shortening (3 tablespoon) and Egg (1) to milk and yeast and mix to combine. Add mixture to the flour mixture, mix on low until the dough comes together, increase speed to medium high and mix for 5-7 minutes.
Grease bowl with Oil (to taste) and add dough, brush the top of the dough and cover with plastic wrap and a kitchen towel and let it rise for 1:30 to 2 hours.
Sprinkle a little bit of flour in your work surface and roll out dough to 1/2 inch thick, cut donuts with a round cutter and cut a whole in the center. Place donuts in a baking sheet, cover and let it rise for 30-45 minutes.
To make your glaze, mix together the Powdered Confectioners Sugar (2 cup), Vanilla Extract (1/2 teaspoon), and Milk (4 tablespoon).
Once donuts doubled again, start frying them on hot oil over medium heat until golden brown on both sides. Remove from oil and place them on a cooling rack. Dip each donuts in the glaze allowing the excess glaze to drip off.
Allow glaze to set and serve!