Preheat the oven to 375 degrees F and line two cookie sheets with parchment paper. Set aside.

In a medium-sized bowl, use an electric mixer to combine the butter and the sugar. Mix until smooth - about 2 minutes.

Add the egg, egg yolk, vanilla, and vegetable oil. Continue to mix while scraping down the sides of the bowl with a silicone spatula to make sure that everything is being incorporated evenly.

Add the dry ingredients to the wet and continue to mix to combine. Just as the dough starts to crumble together, add in the 2 tablespoons of milk to help combine the dough completely. The dough should be soft.

Scoop and roll the dough into a ball. Each one should be about 2 tablespoons amount.

Place the balls on the prepared cookie sheet then use the palm of your hand to gently press the cookies down slightly. Bake for about 7 minutes. We want them to stay soft so undertaking them and then leaving them on the cookie sheet for a few minutes after baking will leave you with the perfect texture.

Allow the cookies to cool completely before filling.

Use an electric mixer to mix everything together while slowly adding in the heavy cream one tablespoon at a time. Mix until nice and smooth.

Once the cookies have cooled completely, fill each one with filling either using a piping bag or simply spreading it on the bottom of one cookie with a knife. Top with another cookie facing up and there you have it!