Mix water, sugar, and yeast in a large bowl and let sit for 10 minutes.
In another bowl, beat the eggs, salt, vanilla, and evaporated milk together. Mix egg mixture to the yeast mixture in the mixing bowl of a stand mixer. Add 3 cups of the flour to the yeast mixture and mix on low speed til just combined.
Cut in the shortening and continue to mix while adding the remaining flour. Scape the sides with a rubber spatula as needed.
Remove dough from the bowl, place onto a lightly floured surface and knead with lightly floured hands until smooth, about 1-2 minutes. Spray a large bowl with nonstick spray. Put dough into the bowl and cover with plastic wrap or a towel. Let rise in a warm place for at least 2 hours.
While the dough is rising, use this time to turn your sanding sugar into powdered sugar. Use a clean spice grinder to pulse your sugars one at a time until the consistency is powdered sugar, about 5 pulses or 10 seconds of grinding. Set each color aside in a plastic container with a tight fitting lid for later, and clean the grinder between colors.
Preheat oil in a large frying pan over medium high heat.
Add the confectioners' sugar to three separate plastic containers with tight fitting lids, separated by color, and set aside.
Roll the dough out to about ¼-inch thickness and cut sides to form a rectangle. Cut the dough into 1-inch squares.
Deep-fry, flipping once until golden on each side, less than a minute. As the beignets are fried, drain them for a few seconds on paper towels.
Decorate in one of two ways, either by shaking beignets in each individual color of powdered sugar, or by using your fingers to sprinkle a stripe of each sugar color on the beignets. The latter method uses less sugar if that's your goal.