Dissolve yeast in warm water; let stand 5 minutes or until bubbly.
Combine rye flour, molasses, shortening, and salt; add boiling water, stirring until shortening is dissolved. Cool to 105° to 115°. Stir in dissolved yeast, and gradually add enough all-purpose flour to form a soft ball.
Turn dough out onto a floured surface; cover and let rest 10 minutes. Knead dough 10 minutes or until smooth and elastic. Shape into a ball, and place in a greased bowl; turning to grease top. Cover and let rise in a warm place (85°), free from drafts, 2 hours or until doubled in bulk. Punch dough down, and repeat rising procedure 30 minutes.
Turn dough out onto a lightly floured surface. Divide into 3 equal portions, shaping each portion into a smooth ball. Cover and let rest 15 minutes. Shape into round loaves, and place on greased baking sheets. Cover and repeat rising procedure 1 hour or until doubled in bulk. Brush loaves with egg. Bake at 350° for 40 minutes or until loaves sound hollow when tapped. Transfer loaves to wire racks to cool.