Cream together the shortening and sugar and beat in the egg until light.
Sift together the flour, baking powder and salt and mix into the creamed mixture. Stir in the oatmeal and water until blended. Roll into a 2 inch roll and chill in the refrigerator for several hours or overnight.
Preheat the oven to 375 degrees F (190 degrees C).
Slice cookie dough thinly and bake at 375 degrees F (190 degrees C) for 6-8 minutes. Cool and put together in sandwiches with jam.