For dough, soften yeast in lukewarm water. (Use warm water for dry yeast.) Pour scalded milk over sugar, salt and shortening. Cool to lukewarm. Stir in 1 cup flour. Add softened yeast and oats. Stir in enough more flour to make a soft dough.
Turn out on lightly floured board or canvas; knead until smooth and satiny, about 10 minutes. Round dough into ball; place in greased bowl; brush lightly with melted shortening. Cover and let rise in warm place until double in size, about 1 hour.
Punch dough down; cover; let rest 10 minutes. Divide dough in half. Roll one half to form a 15x8 inch rectangle. Brush with melted butter; sprinkle with half of filling made by combining sugar and cinnamon. Starting with short side, roll up as for jelly roll.
Place in greased loaf pan. Brush lightly with melted shortening. Repeat with other half of dough. Cover; let rise until nearly double in size, about 45 minutes.
Bake in preheated 375 degree oven 45 to 50 minutes. Remove from pans; brush with melted butter. Cool.