Preheat oven to 350 degrees F (175 degrees C). Lightly grease a 7x11 inch baking pan.
In a large bowl, mix together flour and salt. Cut shortening in thoroughly with a pastry blender until mixture resembles breadcrumbs. Stir in water and press dough together with your hands. Roll out pastry into a large rectangle. Spread the butter evenly over the pastry, then sprinkle on 1/4 cup sugar and nutmeg. Roll up the dough jelly roll style and pinch to seal. Cut into 12 even slices. Place the rolls in the prepared pan.
In a small saucepan, heat milk, 2/3 cup sugar and vanilla until mixture begins to bubble. Pour milk mixture over rolls.
Bake in preheated oven until brown, about 30 to 40 minutes.