Crisco is primarily soybean oil (polyunsaturated) and palm oil some of which is hydrogenated to solidify it. Palm oil contains a range of saturated, monounsaturated, and polyunsaturated fats. The saturated fats won't do much to season your grill as it is the oxidation of the fats that produces the protective polymer layer layer. Saturated fats do not oxidize as readily as unsaturated fats.
Using Crisco will work, but you might get the job done faster if you stick with monosaturated fats like peanut oil or polyunsaturated fats like soybean oil.