Dissolve the yeast in milk and add a pinch of sugar, let it stand for a couple minutes and it should be bubbly. Cream together the shortening and butter, add the milk, vanilla and egg yolks. Mix salt and flour together, add flour mixture in small amounts to the dough kneading it thoroughly until it comes clean from your hands. Chill the dough for three hours in the refrigerator.
To make nut filling, grind the walnuts in a food processor. In a metal or glass bowl add chilled egg whites and beat until frothy. Add sugar to the egg whites and beat until they are stiff. Fold in the ground walnuts.
Remove dough from the refrigerator and divide it into thirds. Roll one piece of dough out at a time onto a powdered sugar surface to 1/8 of an inch thick. Spread one third of the nut filling onto the dough using a butter knife. With the butter knife cut the dough in vertical strips and then horizontal strips that will form squares. Roll each square from one corner to the opposite corner. Rolling like a crescent roll. Roll up the edge pieces too even if they do not form a perfect square until all the dough is rolled into cookies. Repeat until you have rolled out all the dough. Place cookies on an ungreased baking sheet and bake in a 350 degree oven F for 15 to 20 minutes. Cool completely on a wire rack and then using a lunch bag filled with about a cup of powdered sugar, place three or four nut rolls in the bag and gently shake the bag to completely coat the cookies. Repeat until all cookies are coated.
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