Sift flour and baking powder together into a large bowl. Cut in vegetable shortening with a pastry cutter or 2 knives, then add eggs and egg yolks. Mix thoroughly with a wooden spoon. Turn out onto a lightly floured surface and knead until dough is smooth, about 5 minutes. Cover with plastic and refrigerate for 30 minutes.
Meanwhile, place milk and cinnamon in the top of a double boiler. Cook, stirring occasionally, over simmering water over medium-low heat until milk mixture is the color and texture of thin peanut butter, 1–1 1⁄2 hours. Remove cinnamon, cover, and refrigerate.
Preheat oven to 375°. Divide dough into 3 equal parts. On a lightly floured surface, roll each portion of dough into a round about 9'' in diameter. Trim edges, prick each round all over with a fork, then transfer to an ungreased cookie sheet. Bake, without turning, until pastry is golden, about 18 minutes. Remove from oven and set aside to cool. (Pastry rounds should look like large cookies).
Place 1 pastry round on a large plate. Spread with half the filling (it is easiest to use the back of a spoon), cover with another round and remaining filling, then top with final round. Dust liberally with confectioners' sugar, cut into wedges, and serve.