Preheat the oven to 350 degrees F. Lightly grease 2 cookie sheets. Sift the flour, baking soda, and cocoa together in a large bowl. In a separate bowl, combine the oil, vinegar, food coloring, and vanilla.
Using an electric mixer, beat the sugar and eggs together in a large bowl until they turn pale and double in volume. Add the oil mixture and beat to combine. Add the flour mixture and buttermilk alternately in 5 small additions, starting and ending with the flour.
Drop the batter by teaspoons onto the baking sheets, allowing 1-inch between drops, as the cookies will spread. You'll be making 48 cookies. Bake until the cookies are firm but not crisp, about 8 to 10 minutes. Transfer immediately to racks to cool.
Put the flour into a medium saucepan and slowly add the milk, whisking until smooth. Set over medium heat and cook, stirring constantly with a whisk, until very thick, about 3 minutes. Remove the flour mixture from the heat and allow it to cool completely.
Cream the sugar, butter, shortening, and vanilla in a large bowl with an electric mixer. Add the cooled flour mixture and whip until fluffy. Spread some filling onto 1 cookie and top it with another to make a sandwich. Repeat with the remaining cookies and filling. Cover the filled whoopee pies with plastic wrap and store in the refrigerator until ready to serve.
Recipe courtesy of Johnnie Gabriel (DFC, pg. 201)