In a bowl, whisk together 2 1/4 cups cake flour, 1 1/2 teaspoons baking powder, 1 teaspoon salt, and 1/2 teaspoon nutmeg. Set aside.
In the bowl of a stand mixer fitted with a paddle attachment (or use a handheld whisk), beat 1.2 cup sugar and 2 tablespoons vegetable shortening together until sandy. Once the sugar and shortening are well combined, add the 2 egg yolks and mix until the mixture is light and thick.
Add the dry ingredients to the mixing bowl in 3 additions, alternating with sour cream and ending with flour, scraping the sides of the bowl down as necessary. The dough will be sticky. Transfer the dough into a clean bowl, cover with plastic wrap and chill for an hour.
Once the dough is chilled, roll out the chilled dough on a floured surface until about 1/2 inch thick. Use a 2-inch cutter to cut out as many circles of dough as you can. Roll the flat circles of dough into little balls.
Pour 2 cups of vegetable oil into a heavy bottom pot (I used an iron skillet) to at least 2 inches deep. Heat to 325 (F). Ad the donuts to the heated oil a few at a time, careful not to overcrowd the pot. Fry on each side until golden brown, being careful to make sure they don't burn. When the donuts are finished frying, let drain on a paper towel to soak up the excess oil.