Melt shortening in a heavy skillet. Stir in flour and make a roux. Add chili powder and water; stir and cook until the gravy is thick. Keep warm while preparing the tortillas.
Preheat oven to 450 degrees F. Lightly grease an ovenproof casserole dish.
Heat oil in a skillet and lightly fry each tortilla for about 5 seconds on each side. Do not overcook or they will get rubbery. Drain on paper towels. Dip each tortilla in the gravy, put some of the onion and cheese on the tortilla, roll it up, and place it, seam side down, in a casserole dish. Repeat until all 6 tortillas have been rolled. Pour the chili gravy over the tortillas, top with more cheese, and bake for about 10 minutes.
