In a large bowl, combine flour and salt. Cut in shortening until mixture resembles coarse crumbs. Gradually add cold water, mixing until dough comes together. Knead briefly, wrap in plastic, and refrigerate for 30 minutes.

Peel and slice bananas into rounds. In a large skillet over medium heat, melt butter. Add brown sugar, cinnamon, nutmeg, and a pinch of salt. Stir until sugar dissolves.

Add banana slices to the skillet and cook for 5-7 minutes, stirring gently, until bananas are caramelized and soft. Add rum and cook for 2 more minutes until liquid reduces. Remove from heat and let cool completely.

Roll out dough on a floured surface to 1/8-inch thickness. Cut out 5-inch circles using a bowl or round cutter. Re-roll scraps to make 8 circles total.

Place 2 tablespoons of cooled banana filling in the center of each circle. Brush edges with water, fold in half, and press edges firmly with a fork to seal.

Heat vegetable oil in a deep skillet to 350°F. Fry empanadas in batches for 3-4 minutes per side until golden brown. Drain on paper towels and serve warm.