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In a large bowl, cream the butter and sugar until the mixture is light and fluffy. Beat in the egg yolk (set the white aside for now) along with the milk and vanilla. In another bowl, whisk together the flour, cocoa and salt. Gradually add the dry mixture to the creamed mixture. Cover the bowl and refrigerate for one hour or until the dough is easy to handle.
Preheat the oven to 350°F. Shape all the dough into 1-inch balls. In one shallow bowl, beat the egg white. Put the chopped pecans in a separate shallow bowl. Dip each ball of dough in the egg white and then the pecans. Pat the pecan layer to help it stick.
Place the balls 2 inches apart on greased baking sheets. Press a deep indentation in the center of each ball with the end of a wooden spoon's handle. Bake the cookies for 10 to 12 minutes; the cookies will be set when ready. Move the cookies from baking sheets to wire racks to cool completely.
In a large, heavy saucepan, melt the caramels and cream over low heat. Stir the mixture until it's smooth. Fill the indentation of each cookie with about ½ teaspoon caramel mixture. In a microwave, melt the chocolate chips and shortening in a microwave-safe bowl. Stir the chocolate until it's smooth. Drizzle the melted chocolate over the cookies and let stand until the chocolate has set.