1Heat oven to 400ºF. Lightly grease bottom of jelly roll pan, 15 1/2x10 1/2x1 inch, or large cookie sheet with shortening. In 1-quart saucepan, heat cranberry sauce, orange juice and candies over medium heat, stirring occasionally, until mixture is hot and candies are melted; remove from heat.
2In medium bowl, cut shortening into flour and salt, using pastry blender or crisscrossing 2 knives, until particles are size of small peas. Sprinkle with cold water, 1 tablespoon at a time, tossing with fork until all flour is moistened and pastry almost cleans side of bowl (1 to 2 teaspoons more water can be added if necessary). Roll pastry into rectangle, 18x16 inches. Cut pastry into four 8-inch squares, using pastry cutter or knife. Cut leaves from remaining 2-inch piece of pastry, using small leaf-shape cutter, pastry cutter or knife.
3Place apple on each pastry square. Spoon 1 tablespoon cranberry sauce mixture into center of each apple. Sprinkle each apple with 1 teaspoon of the sugar. Moisten corners of pastry squares. Bring 2 opposite corners of pastry up over apple; pinch to seal. Repeat with remaining corners; pinch edges of pastry to seal. Decorate with pastry leaves. Place dumplings in pan. Brush with egg; sprinkle with additional sugar.
4Bake about 30 minutes or until crust is golden brown and apples are tender. Garnish each dumpling with mint leaf. Serve warm with remaining sauce mixture.