Preheat oven to 300 degrees F (150 degrees C). Cover cookies sheet with aluminum foil, shiny side exposed. Lightly grease foil with vegetable oil spray. Place 3 pecan halves in a Y shape on the foil. Place 1 caramel candy in the center of each Y. Bake just until caramel is melted, about 9 to 10 minutes.
Heat shortening and chocolate chips over low heat just until chocolate is melted. Spread over candies and refrigerate for 30 minutes.