Preheat the oven to 450 degrees. Line two cookie sheets with parchment paper and set aside.
In a medium bowl, combine cocoa, flour, baking soda, baking powder and salt. Stir to mix. Set aside.
In the bowl of a stand mixer with the paddle attachment, cream together the shortening and sugar. Add egg, milk, and vanilla extract and mix well until combined.
Slowly add the dry mixture to the wet mixture and mix well.
Using a small scoop (about 2 teaspons) scoop, place scoops of the batter onto the prepared cookie sheets (about 12 per sheet).
Bake one cookie sheet at a time for 6-7 minutes (they may look underdone on the top, that's okay). With a spatula, remove immediately to cool on a wire cooling rack.
While the cookies are cooling, beat together the marshmallow fluff, confectioners' sugar, shortening and vanilla extract in the bowl of a stand mixer or in a large bowl with a hand mixer until completely combined and light and fluffy. Add milk as needed to get to a softer consistency. Beat in the crushed Oreos until combined.
Using a scoop, place a dollop of the filling in the center of the flat side of one cake. Place a matching piece of cake against the filling and push to spread the filling evenly between the two halves. Repeat until all of the pies have been filled.