Preheat oven to 450 degrees F (230 degrees C).
To make the gravy: Crumble sausage in skillet and cook over medium-low heat. Add onion and cook until tender; drain. Stir in flour, a little at a time, for about 6 minutes or until bubbly and golden. Stir in milk, nutmeg, poultry seasoning, salt, Worcestershire sauce, hot pepper sauce and cook until thick.
To make biscuits: Dissolve yeast in warm water; let stand 5 minutes. Stir in buttermilk and set aside. In a large bowl, combine flour, sugar, baking powder, soda and salt. Cut in shortening with pastry blender until looks like coarse meal. Stir in yeast-buttermilk mix and mix well. Turn out onto lightly floured surface and knead gently 3 to 4 times. Roll out flat to 1/2 inch and cut with 2 1/2 inch biscuit cutter. Place on lightly greased baking sheet and cover. Let rise in warm place 1 1/2 hrs.
Bake in preheated oven for 8 to 10 minutes, until golden. Remove from oven and brush tops with melted butter.