1. Bring milk to a boil in saucepan. Remove from heat. Stir in shortening, sugar and salt until shortening is melted. Pour into large bowl. Let cool.
2. Sprinkle yeast over warm water in small cup. Let stand 5 minutes. Stir to dissolve yeast. Add to milk mixture.
3. Add 2 cups flour to milk mixture. Beat on low until combined; beat on medium 3 minutes. Stir in 3 cups flour until dough comes together. Turn out onto lightly floured surface. Knead in another 1/2 cup flour. If still sticky, knead in up to 1/2 cup flour. Knead another 10 minutes until smooth and elastic. Shape into ball. Place in lightly oiled bowl; turn to coat. Cover; let rise in warm place about 1-1/2 hours or until doubled in size.
4. Heat butter in skillet; add scallions, garlic, thyme; cook 3 minutes. Stir in cayenne. Let cool.
5. Punch down dough. Divide in half; shape each into a ball. On floured surface, roll a ball into 12 x 9-inch rectangle. Brush egg wash over dough, leaving 1-inch border all round. Spread half of scallion mixture over egg-washed part. Sprinkle half of shredded cheese over scallion. Starting at a short end, tightly roll up dough, jelly-roll style. Pinch ends closed, Coat 9 x 5-inch loaf pan with spray. Place roll, seam side down, in pan. Repeat with other half of dough.
6. Brush loaves with remaining egg wash. Cover; let rise 45 minutes or until doubled in size.
7. Heat oven to 375 degrees F. With knife, make slash down center of bread.
8. Bake in center of 375 degrees F oven 40 to 45 minutes, until golden brown and hollow-sounding when tapped. Cool breads on racks. Wrap; refrigerate up to 3 days, freeze up to 1 month.