1Heat oven to 375°F. In large bowl, beat sugars, peanut butter, shortening and egg with electric mixer on low speed 30 seconds, scraping bowl constantly. Beat on medium speed 1 minute, scraping bowl occasionally. Stir in Bisquick mix until blended.
2Place dough on surface sprinkled with Bisquick mix; gently roll in Bisquick mix to coat. Divide dough into 4 parts. Shape each part into a roll 3/4 inch in diameter and about 13 inches long. On large ungreased cookie sheet, place rolls about 2 inches apart.
3Make indentation lengthwise in center of each roll with handle of wooden spoon. Spoon jam into resealable food-storage plastic bag; cut very small (1/4-inch) tip from corner of bag. Squeeze jam evenly into indentations.
4Bake 9 to 11 minutes until light golden brown and set. Cool on cookie sheet 5 minutes. Cut each roll into 12 slices. Remove from cookie sheet to cooling rack.