Mix together the shortening, sugar, and egg yolks. Into another bowl, sift together flour, baking powder, salt, and spices. Stir into the first mixture alternately with 1 cup milk. Stir until dry ingredients are moistened, handling dough as little as possible. Roll dough to about 3/8-inch thickness on a floured cloth covered surface. Let rolled out dough stand for about 15 minutes. Meanwhile, heat deep fat to 370°. Fat should be at least 1 1/2 inches deep. Fat is ready when a doughnut center browns in about 1 minute. Keep temperature as steady as possible. Cut doughnuts out with floured 2 1/2 or 3-inch doughnut cutter.
Fry doughnuts in the hot fat, turning carefully with a wooden spoon handle when the first crack appears. Continue cooking and turning until browned nicely. This will take about 1 1/2 minute total frying time.
Mix cinnamon and sugar in brown paper bags and drop hot doughnuts into mix, shaking to coat.