For the pie crust: Preheat the oven to 350 degrees F. Add the cookies, sugar and melted butter to the bowl of a food processor and pulse until the cookies are crumbled and the everything is well combined.
Press the crumbs into a 9-inch pie plate, making sure to evenly distribute them up the sides. Use a dry measuring cup to smooth out the crust if necessary. Bake until set, about 5 minutes. Cool completely before filling, about 20 minutes.
For the chocolate filling: Put the sugar, cornstarch, egg yolks, cayenne and salt in a large saucepan, whisk to combine and place over medium-high heat. Slowly whisk in the milk, bring the mixture to a simmer and cook until it coats the back of a spoon, about 5 minutes. Remove from the heat and stir in the chocolate, butter and vanilla until the chocolate is melted and incorporated.
Spoon the filling into the cooled pie crust. Cool on a wire rack for 30 minutes, then refrigerate for 3 hours. Garnish with shaved white chocolate and crushed pretzels, and serve.