Preheat oven to 400 F. Place a piece of parchment on a cookie sheet and spray with non stick spray.
In a large bowl, combine flours, salt, baking powder and sugar. Using a pastry blender, cut in shortening until it looks like small peas. Add olive oil and coconut milk. Mix with a wooden spoon until just combined.
Transfer dough onto a well floured work surface. Sprinkle a little flour on top. With your hands, press down the dough into a round disk, about 1/2" high. With a biscuit cutter dipped in flour, cut out scones and place on prepared baking sheet.
Brush the tops with coconut milk and sprinkle with a pinch of nutmeg on each scone. Bake in oven for 20 minutes.
Meanwhile, make glaze my combining sugar and coconut milk. Mix well until thoroughly combined.
Drizzle glaze over scones and leave to cool for 10 minutes.