Step 1
Combine butter brown sugar and white sugar in a large bowl; beat with an electric mixer until smooth creamy 3 to 5 minutes. Beat in egg 1 tablespoon milk and 1 teaspoon vanilla extract.
Step 2
Mix oats flour cocoa powder cinnamon baking soda baking powder and salt together in a separate bowl. Beat into the creamed butter mixture on low speed. Fold in chocolate chips using a rubber spatula.
Step 3
Cover bowl with plastic wrap and refrigerate dough until firm enough to scoop at least 1 hour.
Step 4
Preheat oven to 375 degrees F (190 degrees C). Line 2 baking sheets with parchment paper.
Step 5
Scoop small balls of dough onto the lined baking sheets using a small cookie scoop.
Step 6
Bake in the preheated oven until golden about 10 minutes. Let cookies sit on the baking sheets for 2 minutes. Transfer to a wire rack to cool completely.
Step 7
Combine cream cheese and vegetable shortening in a bowl; beat with an electric mixer until smooth. Add marshmallow cream 2 teaspoons milk and 1/2 teaspoon vanilla extract; mix well. Beat in confectioners' sugar 1/4 cup at a time until filling reaches a thick consistency.
Step 8
Scoop some of the filling onto the flat side of 1 cookie using the cookie scoop. Press another cookie on top to sandwich the filling. Repeat with remaining cookies and filling.