Sprinkle yeast over water. DO NOT USE TEMPERATURES ABOVE 110 F. Mix well. Let stand for 5 minutes; stir. Set aside for use in Step 3.
Cream sugar, salt, and shortening in mixer bowl at medium speed.
Add eggs, yeast solution, water, and vanilla; mix at low speed until blended.
Sift together flours, milk, and nutmeg; add to mixture. Using dough hook, mix at low speed for 1 minute or until all flour mixture is incorporated into liquid. Continue mixing at medium speed 10 minutes or until dough is smooth and elastic. Dough temperature should be between 78 F. to 82 F.
FERMENT: Cover. Set in warm place (80 F.) for 1-1/2 hours or until double in bulk.
PUNCH: shape into a smooth ball; let rest for 10 to 20 minutes.
MAKE-UP: Roll into 1/2-inch-thick rectangle. Cut with floured 3-inch doughnut cutter.
PROOF: Place on floured sheet pan; let rise 30 minutes or until light.
FRY: Until golden brown on underside. Turn; fry on other side. Drain on absorbent paper.