In a bowl, combine cocoa and sugar. In another bowl, beat egg and shortening; add to cocoa mixture and stir in remaining ingredients except sprinkles and ingredients for Marshmallow Filling. Drop by rounded tablespoonfuls onto lightly greased baking sheets.
Bake at 350 degrees for 15 minutes. Let cool.
Prepare Marshmallow Frosting; combine all ingredients; stir until smooth.
Frost the flat sides of half the cookies with Marshmallow Filling; top with remaining cookies. Roll edges in sprinkles, if using.