For the Smoked Oat Milk: In a small plastic container, soak oats in water overnight. Drain, rinse, and drain oats again; transfer to a bowl. Using a PolyScience smoking gun with applewood chips, cold smoke oats 10 minutes. To a Vitamix blender, add smoked oats, salt, syrup, Laphroaig, and 400 grams water. Blend on high speed 3 minutes, until smooth. Pass mixture through a nut milk bag or cheesecloth-lined chinois; refrigerate.

For the Cookie: Heat oven to 350ºF. In a bowl, combine flours, baking powder and soda, and coffee. In the bowl of a KitchenAid Commercial stand mixer fitted with a paddle, cream marrow, butter, and sugars on medium speed until light and fluffy, about 2 minutes. While mixing, add cocoa, salt, and vanilla. When combined, add half the flour mixture followed by the yolks. One-quarter cup at a time, add the remaining flour mixture, until you get a dry dough. Dough should not be tacky at all and might even crumble a little bit. Transfer dough to a clean work surface and form into a disc. Wrap dough in plastic wrap and rest 20 minutes. Press dough into Oreo Cookie molds. Bake 9 minutes, rotating molds halfway through the bake. Cool Cookies on a wire rack and store in an airtight container.

For the Filling: In the bowl of a KitchenAid Commercial stand mixer fitted with a paddle, combine all ingredients. Mix until combined, adding 1 teaspoon water at a time until mixture resembles a dough. Transfer to a clean work surface and roll into a 2-inch-long tube, slightly smaller in diameter than that of the Cookies. Wrap and refrigerate.

To Assemble and Serve: Using a sharp knife, cut Filling into ¼-inch-thick slices and place between two Cookies. Press lightly to adhere. Smear a small amount of Filling on the serving plate and place assembled Cookies on top. Pour cold Smoked Oat Milk into a chilled rocks glass; serve with the Cookies.