In the bowl of a stand mixer add in shortening, sugar, and egg yolks. Attach to the mixer and affixed the paddle attachment. Turn on medium speed for 3 minutes.
While the shortening and sugar are creaming away let's get started with the dry ingredients. Sift into a bowl the flour, cocoa, baking powder, baking soda, salt. Give it a quick whisk to incorporate. What we are going to do is start adding a bit of the dry ingredients into the sugar and shortening mixture alternately with the buttermilk. Keep the paddle moving at low speed. You are going to add a little dry, a little milk...back and forth until it's all mixed. Then add in the vanilla.
Preheat the oven to 350 and line two baking sheets with parchment paper. Using a spoon or piping bag, spoon/pipe out 12 similar sized circle shapes. Fire them into the oven for 12-15 minutes. Once done, let cool on pan for 5 mins and then let fully cool on baking rack. DO NOT RUSH THE COOLING. It will melt the filling if you do.
Okay, the filling. Dead easy. In the bowl of the mixer (which you just washed) add in the shortening, icing sugar, salt, egg whites, and vanilla. Attach the whisk attachment to the mixer and turn that baby on high for 3 mins or until light and fluffy. DONE!
Smear that sweet filling on bottom side of one cookie and sandwich it with another cookie. PIG OUT AND FEEL LIKE A KID!!!