Pour the water into a large bowl and sprinkle the dry yeast over. Stir to dissolve and let stand for 5 minutes until foamy.
Beat in the sugar, salt, egg, vanilla extract, and evaporated milk. Add half of the flour and beat until combined. Beat in the shortening and then gradually add the rest of the flour.
Cover in plastic wrap and place in the refrigerator for at least two hours and up to 24 hours.
Place the dough on a floured surface and roll out to 1/4 inch thick. Cut into 1 1/2 inch squares.
Heat 3 to 4 inches of oil in a large deep bottom saucepan or dutch oven to 365 degrees.
Using tongs, add the beignets, 5-6 at a time and fry for 1 minute, flip with the tongs and fry for another minute. The beignets are done when they are lightly browned on each side.
Remove beignets and place on a paper towels to drain. Sprinkle with powdered sugar or enjoy with jam.