In a food processor, combine the flour, shortening and salt; cover and process until mixture resembles coarse crumbs. In a small bowl, dissolve sugar in warm water; stir in egg and vanilla. Gradually add to crumb mixture; pulse until dough forms a ball. Cover and let rest for 10 minutes.
In a food processor, combine the figs, walnuts, water, grape jelly, orange zest and cinnamon; cover and process until blended. Set aside.
Separate dough into six portions. On a lightly floured surface, roll each portion into a 12x8-in. rectangle (dough will be very thin). Cut into 4x2-in. rectangles. Place a teaspoon of fig mixture on one short side of each rectangle; fold dough over filling. Press edges with a fork to seal.
Place 1 in. apart on ungreased baking sheets. Brush with egg and sprinkle with sugar. Bake at 375° for 15-17 minutes or until golden brown. Remove from pans to wire racks.