In a large bowl, whisk together flour, sugar, and salt. Using your fingers or a pastry cutter, work in the shortening until the mixture resembles coarse crumbs with no pieces larger than a pea. Add the milk a few tablespoons at a time, stirring just until a dough forms. Shape into a ball, wrap in plastic, and refrigerate for 1 hour.

In a medium saucepan, combine blackberries, sugar, lemon juice, and pectin. Bring to a simmer over medium heat, stirring constantly. Cook until berries begin to break down, about 10 minutes. Remove from heat and let cool completely.

On a lightly floured surface, roll the dough out to ¼-inch thickness. Use a 4-inch round cutter to cut as many rounds as possible. Gather scraps, re-roll once, and cut additional rounds. Discard remaining scraps.

Spoon 2 tablespoons of filling into the center of each round. Brush edges with egg wash, fold over into a half-moon shape, and press edges closed with a fork. Chill pies in the refrigerator while you heat the oil.

In a large saucepan or Dutch oven, pour in 1 to 2 inches of peanut oil and heat to 360°F. Line a wire rack with paper towels and set it inside a sheet pan. Working in batches, fry 2 pies at a time until golden brown, 3 to 5 minutes. Use a slotted spoon to transfer to the rack to drain. Let cool before serving.