MAKE THE COOKAROLIS: Cut cookie dough in half lengthwise and place onto a long sheet of plastic wrap (about 2 feet). Place one half of the dough into the center, then place another sheet of plastic wrap loosely over top. Roll out cookie dough into a 4" wide strip 1/4" thick. Lift off top sheet of plastic wrap and discard. Place 3-4 chocolate morsels in a group onto the bottom of cookie strip 1/2" apart.
Using the top part of the plastic wrap, fold top half of cookie strip over filling. Using your finger, gently press between and bottom the cookaiolis to seal. Holding the ends of the plastic wrap taut, place the strips onto a cookie sheet and freeze till needed. Repeat with the other half of cookie dough.
MAKE THE PASTRY DOUGH: In the bowl of a food processor, combine the flour, baking powder and salt. Pulse for a few seconds and then pour into a large mixing bowl.
Add the shortening and knead it into the flour with your hands until it is crumbly. Add the milk all at once and mix in with a spatula until it begins to come together.
Lightly flour your hands and the countertop and turn the dough out onto the countertop. Knead the dough ball, folding over about 12 times. Divide dough in half. Roll each half out to 6" wide strips and about 1/8" thin.
Remove cookarolis from the freezer and separate them into individual pieces using a knife or pizza pie cutter. Place cookarolis onto the dough 1/4" apart on the bottom half of the dough. Brush the edges of half of the dough lightly with the egg wash (remember egg wash sticks to dough, but not itself). Fold top part of dough over and separate (using a pizza cutter works well) and then gently seal the edges together with the tines of a fork, dipping the tines into some flour as needed. Repeat with second ball of dough. Place on cookie sheet and refridgerate for a minimum of 30 minutes. NOTE: at this point, they can be frozen on the cookie sheets, then placed into a ziploc bag and frozen for up to a year till needed.
DEEP FRY: Heat oil in a deep fryer to 350°F Carefully fry in batches for about 3 minutes until just light brown. Drain on paper towels. When cooled (about 5 minutes), dust with powdered sugar. Serve immidiately but be careful, as filling may still be hot.