In the bowl of a stand mixer, mix together the butter, vegetable shortening, and sugar for about 4 minutes or until light and fluffy. Then mix in the egg yolks. Finally, mix in the flour and water until combined. Chill dough for at least 2 hours or overnight.
Begin by preheating your oven to 350 degrees F.
Sprinkle your work surface with flour. Roll out 1/4 of the dough at a time until it's about 1/8-inch thick. Cut into strips that are 1/2-inch wide and 10 inches long. Then wind the strips around the foil-wrapped clothespins (or lady lock molds.) Bake on a cookie sheet for about 15 minutes or until the horns are just barely starting to brown.
Remove the horns from the oven. Allow them to cool for about 2 minutes; then carefully remove them from the clothespins. (Don't let the horns cool completely on the molds or the horns will crumble easily. The horns will also crack more if they are overbaked.) Let the horns finish cooling.
In the meantime, prepare the filling. Start by heating the milk, flour, and pumpkin puree in a saucepan over medium-high heat. Cook 8-10 minutes until thick, constantly whisking so the mixture doesn't burn. Transfer it to a bowl and whisk in the cinnamon, nutmeg, ginger, and cloves. Allow to cool.
In the bowl of a stand mixer, cream the butter, vegetable shortening, and salt 5-6 minutes or until fluffy. Slowly mix in the powdered sugar, one cup at a time. Then add the pumpkin mixture and vanilla. Beat until combined and fluffy.
Put the filling in a piping bag, and then fill each horn. Before serving/storing the cookies, sprinkle them with the confectioners' sugar/cinnamon mixture.
To store: Refrigerate in an airtight container.