Preheat the oven to 375 degrees F (190 degrees C). Line a baking sheet with parchment paper.

Combine flour, oats, brown sugar, baking powder, cinnamon, baking soda, salt, and nutmeg in a large bowl. Cut in shortening and mix until just a few chunks remain. Add buttermilk and vanilla extract; stir until combined.

Shape dough into individual scones, about 3 inches across and 1 inch thick. Arrange on the prepared baking sheet.

Bake in the preheated oven until golden brown, 15 to 20 minutes. Cool for 5 minutes before lightly dusting with powdered sugar.