Line a baking sheet with parchment paper. Microwave the yellow candy melts with the shortening in a small microwave-safe bowl in 30-second intervals, stirring, until melted. Dip the tip of 12 lollipop sticks into the yellow candy melts, then insert each into a doughnut hole. Transfer to the prepared baking sheet. Refrigerate until set, about 5 minutes.
Dip each doughnut hole in the yellow candy melts to coat, allowing the excess to drip off, and return to the baking sheet. (Return the yellow candy melts to the microwave if they are too thick for dipping.) Let the coated doughnuts set, about 15 minutes.
Spoon the remaining yellow candy melts into a small resealable plastic bag (remelt if needed). Snip a corner. Pipe a dot on the top of each doughnut hole and top with some yellow sprinkles to look like feathers. Pipe small squiggles on the sides to look like wings.
Microwave the brown and orange candy melts in separate small microwave-safe bowls in 15-second intervals, stirring, until melted. Spoon into separate small resealable plastic bags and snip a corner of each. Pipe on eyes with the brown candy and beaks and feet with the orange candy. Let set, about 15 minutes.