Preheat oven to 450 degrees. Pour the shortening in a 10-inch cast-iron skillet. Place the skillet in the hot oven. Place the self-rising cornmeal or mix in a bowl and whisk in the milk and egg. Add the fennel and pepper and stir until thoroughly blended. Stir the hot shortening into the batter, then pour the batter into the hot skillet. Bake 15 to 20 minutes, until done. Serve piping hot with butter.