Step 1

In a mixing bowl, combine the shortening, boiling water, and milk. Whisk the mixture until smooth and thick.

Step 2

In another medium bowl, sift together the flour, granulated sugar, and salt. Add the flour mixture to the shortening mixture and combine with a wooden spoon until a dough starts to form. Lightly knead the mixture with your hands until the consistency is even, adding more boiling water, if needed, to create a smooth dough.

Step 3

Divide the dough into four evenly sized pieces. On a lightly floured work surface, use a rolling pin to flatten each piece into an oval or rectangle about ¼ in thick and roughly 6 by 10 in. Wrap each sheet of dough with plastic and refrigerate for 30 minutes.

Step 4

In a bowl, combine the apples, both sugars, cinnamon, salt, ginger, and nutmeg. Set aside until the apples begin to release liquid, about 15 minutes. Using a slotted spoon, transfer the apples from the liquid into a medium bowl. Reserve both the apples and the liquid.

Step 5

Preheat the oven to 350°F.

Step 6

Place the dough rectangles on a flat surface. Evenly divide the apple mixture among the four pieces of dough, making sure to leave about 1 in of bare dough on all sides. Divide the butter among the four pieces, dotting each with ½ Tbsp. Sprinkle sugar on each. Fold the dough up and over the apples and pinch it together to seal the apples inside of the dough completely (you can moisten the edges with water if needed to stick). Place on an ungreased baking sheet, seal-side down. Bake until lightly golden, about 30 minutes.

Step 7

Meanwhile, in a small saucepan over low heat, reduce the reserved apple liquid until slightly syrupy, about 5 minutes. After the roly polys have baked for 30 minutes, brush the tops with this glaze and return them to the oven until the pastry is browned and the glaze is shiny, 15 minutes more. Remove to a cooling rack and let cool while you make the custard sauce.

Step 8

In a small dish, combine the granulated sugar and cornstarch. In a small saucepan, melt the butter. Add the heavy cream and the cornstarch mixture, whisking over low heat until the sauce begins to thicken, about 5 minutes. Remove from the heat and add the rum and vanilla. Stir until combined.

Step 9

To serve, place each roly poly in a bowl or on a rimmed plate and spoon the custard sauce over the top.