Cream shortening in a large mixing bowl; gradually add sugar, beating well. Add eggs; beat well.
Sift together flour, baking powder, salt, and nutmeg; add to creamed mixture alternately with milk, beginning and ending with flour mixture. (Dough will be soft.) Chill 1 hour.
Turn dough out onto a heavily floured surface; dust dough heavily with flour. Knead 4 to 5 times; roll dough to 1/4-inch thickness. Cut into 9- x 3/4-inch strips; fold each strip in half. Twist folded strip; press ends together to seal.
Heat 3 to 4 inches oil to 375°; gently drop in 3 to 4 crullers at a time. Cook 1 minute or until golden brown on one side; turn and cook 1 minute on other side. Drain on paper towels; sprinkle with powdered sugar. Repeat procedure with remaining dough. Serve warm.