Whisk together the flour, sugar, yeast, and salt. Set aside.
In a medium sized bowl, whisk to combine the warm water, honey (you can heat the honey for a few seconds in the microwave if it is not pourable), egg, and vanilla extract. Beating just until the egg is well combined. Melt the shortening and add it to the wet ingredients, mixing until well combined.
With a dough hook on your stand mixer, add the wet ingredients to the dry ingredients. With the stand mixer on low, mix the dough on low until the wet and dry ingredients are well combined.
Once combined, knead the dough on medium speed for 8 minutes. The dough will still be somewhat sticky but workable. Using a bowl scrapper or your hand, shape the dough into a nice ball and place it into a lightly oiled glass bowl, flipping the dough to coat the top of the dough with oil as well.
Cover the dough with plastic wrap (or a clean kitchen towel) and place in a draft-free slightly warm spot. Let rise for 1 to 2 hours, until it has almost doubled in size. Depending on the temperature of your home, the rise time for the dough will vary. In cooler climates, the dough may not double but should still have a noticeable rise.
While the dough is rising, whisk to combine the cinnamon and sugar in a small bowl. Set aside.
Once the dough has risen, turn it out onto a lightly floured, clean surface. Roll the dough out to a 12 inches long and 8 inches wide rectangle. Dust with the cinnamon sugar mixture leaving a clean edge (you can cover the edge with parchment if needed) and gently press into the dough.
Roll the dough up from the long side toward the clean edge. Using a pastry brush (or even your finger), brush the clean edge with a little water. Then push the clean edge into the roll and smooth with your finger to adhere the dough together.
Using a sharp serrated knife, cut off the pinched ends from the roll, about 1.5 inches per end. Then cut it equally into 1-inch pieces and place each piece onto a parchment-lined baking sheet with at least 2 inches space between them. The pieces should be oblong in shape. Press down lightly on each slice and lightly shape each one with your fingers, then let rise for about 45 minutes - until puffy, but not doubled in size.