Preheat oven to 375. Grease baking sheets with shortening. In large mixer bowl combine shortening, sugar, egg, milk and vanilla. Beat at medium spped of mixer until well-blended. In another bowl, combine oats, wheat germ, flour, baking soda, salt, cinnamon andnutmeg. Mix into creamed mixture at low speed just until blended. Stir in nuts. Form dough into 1 inch balls. Place 2 inches apart on baking sheets. Flatten slightly by hand. Bake 5 to 7 minutes. Remove from oven. Press center of cookies with back of teaspoon. Fill indentation with about 1 teaspoon apple pie filling. Bake 5 minutes or until lightly browned. Do not overbake. Cool 2 minutes on baking sheet. Remove cookies to foil to cool completely. ----