In a large bowl, combine the rye flour, sugar, yeast, salt, fennel seed, caraway seeds and 2 cups all-purpose flour. In a saucepan, heat water and shortening to 120°-130°. Add to the dry ingredients; beat just until moistened. Beat on medium speed for 3 minutes. Stir in enough remaining flour to form a firm dough. Turn onto a floured surface; knead until smooth and elastic, about 6-8 minutes. Place in a greased bowl, turning once to grease top. Cover and let rise in a warm place until doubled, about 1 hour.
Punch dough down. Turn onto a lightly floured surface; divide into six portions. Divide each portion into 10 pieces; shape each piece into a ball. Place three balls in each greased muffin cup. Cover and let rise until doubled, about 30 minutes. Bake at 375° for 15-20 minutes or until golden brown. Cool for 5 minutes before removing from pans to wire racks.