On the baking sheet arrange clusters of five pecans in the shape of a turtle's head and four legs.
In a small saucepan over medium-low heat, combine the caramels and water, stirring constantly, until completely melted and smooth.
Spread a spoonful of caramel sauce over each cluster or pecans, ensuring that the caramel is touching each pecan. Place in the refrigerator until set, about 15 minutes.
Place the chocolate chips and shortening in a small bowl and place in the microwave on 50% power, stirring every 30 seconds, until completely melted and smooth.
Spread a spoonful of the melted chocolate on top of the caramel and allow to sit at room temperature until the chocolate is completely set, about 30 minutes. The turtle candies can be stored in an airtight container, with a layer of wax or parchment paper between layers, at room temperature. They can also be stored in the refrigerator, but allow them to come to room temperature before serving, as the caramel layer will be too hard to eat straight out of the refrigerator.