if you fry nuts in vegetable shortening is there still nut allergy risk?
Depends on exactly how sensitive the allergic person is, but there is some protein/allergen transfer. So there is an allergy risk. (Depends on the particular person whether it'll cause harm or not—but there are reported cases where it has). To avoid transfer, you need to thoroughly clean out the fryer/pan/etc. and use fresh shortening.

See, for example, http://www.foodallergy.org/file/cross-contact-poster-set2016.pdf