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Preheat oven to 375°F. Mix masa flour, baking powder, cinnamon and salt in a medium bowl. Set aside.
Beat vegetable shortening and sugar in large bowl with electric mixer on medium speed until light and fluffy. Add eggs and vanilla; mix well. Gradually beat in flour mixture on low speed until well blended. Stir in warmed milk, 1 tablespoon as a time, just until dough is moistened. Wrap dough in plastic wrap and let rest 15 minutes.
To form the cookies, pinch 2-inch ball from dough. Working on lightly floured surface, roll each ball into a smooth log about 6-inches long. Curl into a donut shape, overlapping ends by 1/2-inch and pressing gently to adhere. Place on parchment-lined baking sheets.
Bake 20 to 25 minutes until golden brown. Cool on baking sheets 1 minute. Remove to wire racks; cool completely.