Preheat oven to 425 degrees F.
In a large mixing bowl, cream together the sugar and shortening until fluffy. Add eggs and continue to beat. Stir together buttermilk, boiling water, vanilla, and blend this into the creamed mixture at low speed.
Sift together flour, baking powder, baking soda, and cocoa. Add to mixture 1 cup at a time, blending well at low speed. Batter will be very thin but do not worry. Drop by teaspoons onto ungreased cookie sheet. Bake for 5 minutes. Allow to cool and transfer onto waxed paper.
To make the filling, place flour into saucepan and slowly add milk, stirring until smooth. Set over medium heat and cook, stirring until very thick. Mixture should become as thick as solid vegetable shortening. Remove from heat and allow to cool completely. In a medium bowl, cream together sugar, butter, shortening, and vanilla using a handheld electric mixer. Add the cooled flour mixture and whip until fluffy. Spread onto bottom side of cookie and top with another cookie to make a sandwich. Wrap individually in plastic wrap and store in refrigerator.