Preheat oven to 450 degrees F. Line two baking sheets with parchment paper; set aside.
In a medium bowl, whisk together the flour, cocoa powder, baking soda and salt; set aside.
Using an electric mixer, cream together the shortening and sugar on medium speed until light and fluffy, about 3 minutes. Add the egg, egg yolk and vanilla extract and beat for another 1 to 2 minutes, or until completely smooth and combined. Reduce the mixer speed to low, add one-third of the flour mixture and beat until just combined. Add the buttermilk and mix again, followed by another third of the flour mixture, the hot water, and then the remaining flour mixture. Give the batter a few quick folds with a rubber spatula to ensure all of the ingredients are incorporated.
Drop the dough onto the parchment-lined baking sheets using a medium cookie scoop (about 1½ tablespoons of dough). Bake in the preheated oven for 5 to 6 minutes. The cookies should look puffed and completely set. Let cool on the baking sheets for about 5 minutes, then transfer to a wire rack to cool completely.
Make the Filling: Cream together the marshmallow fluff and butter on medium speed until light and fluffy, about 3 minutes. Reduce the speed to low and add the powdered sugar, salt, and vanilla extract; mix until all of the sugar has been incorporated, then increase the speed to medium and beat for another 3 to 5 minutes, until the mixture is light and fluffy.
Assemble the Gobs: Using a pastry bag with round decorating tip, or a spoon, spread some of the filling onto the bottom side of half of the cookies. Top with the remaining cookies. The gobs can be stored at room temperature in an airtight container for up to 5 days.