Preheat oven to 425F.
Place milk in a sauce pan and bring to a boil over medium heat. Slowly add semolina flour, stirring constantly. Simmer and stir for about 3 minutes until smooth. Remove from burner, place in a bowl and let cool for five minutes.
To the milk/semolina mixture, add ricotta cheese, sugar, raw egg and cinnamon and mix well. Set aside.
Place defrosted puff pastry sheet on a lightly floured surface and roll until it's very thin, about 12 x 18" rectangular.
Brush the melted shortening onto the dough and, starting with the short end, roll up the dough like a jelly roll. Cut 1 inch wide pieces. You should get about 12 pieces that resemble pinwheels.
Place a pinwheel into The palm of your hand and press the center down with your thumb and pull up with your fingers to make a funnel with a wide opening on one side.
Fill each sfogliatelle with as much ricotta filling as you can and seal up the opening by pinching it closed. It should be shaped like a seashell. Place on a baking pan covered with parchment paper or lightly greased, one inch apart.
Bake in a 425 oven for about 15 minutes, or until the pastry turns a light golden color.
Remove from oven and let cool for about five minutes. Remove to wire rack and cool completely. Dust them with powdered sugar and they are ready to eat. Buon appetito!
