In a medium bowl, mix the flour and salt. Use a fork to cut the shortening into the mixture. Pour in the milk and stir until the dough comes together.
Portion the dough into ten evenly sized balls.
In another bowl, mix the melted butter, cocoa powder, and sugar until they blend into a thick paste.
Fill a large skillet with about 1/4 inch of oil and heat it over medium-high heat as you prepare the pies.
On a floured surface, flatten each dough ball into a 6-inch circle. Spoon 2 tablespoons of chocolate filling into the center of each. Moisten the edges of the dough with water using your fingertips. Fold the dough over the filling and press the edges together with a fork to seal.
Once the oil has been heating for about five minutes, lower the temperature to medium. Gently place a few pies into the hot oil, making sure not to overcrowd the skillet. Cook until the pies are golden brown on one side, then flip them over and cook until the other side is equally golden.
Transfer the cooked pies to a plate lined with paper towels and continue frying the remaining pies. Let them cool for a few minutes before serving, and if you like, sprinkle with powdered sugar for an extra touch of sweetness.