Preheat the oven to 350°F. Lightly grease (or line with parchment) two baking sheets.
In a large mixing bowl, beat together the butter, sugar, baking powder, baking soda, salt, and vanilla until smooth. Add the egg, again beating until smooth.
Add the cocoa, stirring to combine.
Add the flour to the batter alternately with the milk, beating until smooth. Scrape down the sides and bottom of the bowl, and beat again briefly to soften and combine any chunky scrapings.
Drop the dough by the 1/4-cupful onto the prepared baking sheets, leaving plenty of room between the cakes; they'll spread. A muffin scoop works well here.
Bake the cakes for 15 to 16 minutes, until they're set and firm to the touch. Remove them from the oven, and cool on the pans. While still lukewarm, use a spatula to separate them from the pan or parchment; then allow to cool completely.
Remove them from the oven, and cool on the pans. While still lukewarm, use a spatula to separate them from the pan or parchment; then allow to cool completely.
Beat together the shortening, sugar, and marshmallow until well combined.
Dissolve the salt in the water, and add to the marshmallow mixture. Add the vanilla, and beat until smooth.
Spread the flat side of half the cakes with the filling. Top with the remaining cakes, flat side towards the filling. Wrap individually, in plastic wrap, until ready to serve.