For the dough: Sift the flour, salt and baking powder into a mixing bowl. Cut in the shortening until it resembles coarse meal. In a small bowl, beat the egg with the milk. Gradually add the egg mixture to the flour mixture, working it into a thick dough. Break the dough into 24 equal pieces. On a lightly floured surface, roll the dough pieces into thin rounds, about 2 1/2 to 3 inches in diameter. Spoon a heaping tablespoon of the filling in the center of each round and place an oyster on top of the filling. Season the oyster with salt and pepper. Fold over and crimp the edges with a fork. Heat the shortening in a deep pot or an electric fryer to 360 degrees F. Fry the pies, a couple at a time, until golden brown. Drain on paper towels, season with salt and pepper and serve immediately.