Butter a large baking sheet; set aside. Spread nuts in an even layer on a plate; set aside.
In a heavy medium saucepan, heat and stir caramels and whipping cream over medium-low heat just until caramels are melted. Reduce heat to low.
Hold each pretzel rod by one end over the pan and spoon hot caramel mixture evenly over three-fourths of the pretzel; shake off excess. Roll coated part of pretzel in nuts, turning to coat all sides. Place pretzels on prepared baking sheet and let stand about 30 minutes or until caramel is set.
In a small heavy saucepan, melt vanilla-flavor candy coating and 1/2 teaspoon of the shortening. In another small heavy saucepan, melt the chocolate-flavor candy coating and the remaining 1/2 teaspoon shortening. Carefully spoon each candy coating mixture into a heavy resealable plastic bag. Snip off a corner of each bag.
Transfer pretzel rods to a sheet of waxed paper. Drizzle some of each mixture over the caramel and nuts on each pretzel, turning pretzel to coat all sides. Return pretzels to baking sheet and let stand about 30 minutes or until firm.