Make the apple filling: Add the apples to a large pot with 3 1/2 cups of water, and cook over low heat until tender, 1 hour. Stir the mixture. If the apples aren’t easy to mash and water has been absorbed, add 1/2 to 1 cup additional water and cook for an additional 15 to 20 minutes.
Drain any excess water from the apples in a colander and place in a large bowl. Using a potato masher, mash the apples to the consistency of rustic, chunky applesauce, adding the sugar and cinnamon to taste. Cover with plastic wrap and refrigerate at least 4 hours up to overnight.
Make the dough: In a large bowl, add the flour and shortening, and using your hands begin working the shortening into the flour until crumbly in texture. While mixing, slowly add the whole milk, a little bit at a time, and continue mixing until a dough forms. Knead 4 to 5 more times, then wrap in plastic wrap and refrigerate at least 4 hours up to overnight.
When ready to assemble, lightly dust the counter with flour. Using a rolling pin, roll the dough 1/8 inch thick. Cut the dough into 6-inch-diameter rounds.
Spread 2 tablespoons of the chilled apple filling on one side of each round. Fold the dough over and crimp using the prongs of a fork. Repeat with the remaining filling and dough circles.
Heat a large skillet with the canola oil (about 1/2-inch up the sides of the skillet) over medium-high heat to 360ºF on a fry thermometer. Line a large plate with paper towels and place next to the stove.
Once the oil is shimmering, fry a couple of pies at a time for 1 to 2 minutes per side, until golden brown. Using a slotted spoon or tongs, carefully remove the pies to the prepared plate. Continue with the remaining pies.
Allow to cool slightly and enjoy warm. Serve plain or with powdered sugar, ice cream, or whipped cream.