For the filling: Mix together the bacon, pork shoulder, Worcestershire, mustard, fish sauce, salt, nutmeg and some pepper in a bowl. Divide into 4 even portions. Wrap each portion in 1 or 2 slices of prosciutto, then wrap in plastic and refrigerate.
For the hot-water crust: Preheat the oven to 400 degrees F.
Place the flour and salt in a large mixing bowl and whisk to combine. Make a well in the center of the flour. Set aside.
Add the milk, water and lard to a saucepan; heat until warm and the lard has melted. Pour into the flour well and work the mixture with a wooden spoon until uniformly moistened. Transfer to a clean work surface and knead until smooth, 2 to 3 minutes. Wrap the dough in plastic and set aside to rest for 4 or 5 minutes. (Do not allow the dough to cool any further: as it cools, it sets and becomes hard to handle.)
While the dough is still warm and pliable, divide it into 4 pieces. Pinch off a scant quarter of the dough from each piece and set aside. Form the larger portions into balls, then press into 5- to 6-inch disks. Using a small jar wrapped in plastic wrap, press the dough so that it reaches halfway up the jar, forming a "cup." Place the chilled, prosciutto-wrapped filling in the cups. Press the reserved smaller pieces of dough into disks and place on top of the filling, pinching the bottom crust and "lid" together at the edges. Make a hole in the middle of the lid with a chopstick or the handle of a wooden spoon. Brush the top of each pie with egg wash.
Bake the pies for 20 minutes and then reduce the heat to 350 degrees F; bake for about 40 minutes more.
Believe me, fish sauce is a great addition here. You can also use anchovy paste.