Preheat the oven to 350 degrees F. Line 2 baking sheets with parchment paper.
Pulse the cookies in a food processor to fine crumbs. Remove 1/3 cup crumbs to a medium bowl and reserve the remaining crumbs for the filling.
Whisk the flour, baking powder, salt and baking soda into the medium bowl with the 1/3 cup crumbs. Set aside.
Beat together the sugar, butter and vanilla in a large bowl of a stand mixer fitted with the paddle attachment on medium-high speed until light and fluffy, about 2 minutes. Add the egg and beat until combined. Reduce the speed to low and add the flour mixture in 3 batches, alternating with the milk, beginning and ending with the flour mixture; beat after each addition until just combined.
Spoon 2 tablespoon-mounds of the batter (a 1-ounce ice cream scoop works well here) onto the prepared baking sheets about 1 inch apart. You should have about 12 cookies per baking sheet.
Bake, rotating the baking sheets halfway through, until the tops of the cookies spring back when lightly touched, 14 to 16 minutes. Let cool on the baking sheets for 5 minutes, then transfer to wire racks to cool completely, about 30 minutes. Reserve the parchment-lined baking sheets.
While the cookies cool, prepare the filling. Spray a measuring cup and rubber spatula with nonstick cooking spray, then measure out the marshmallow cream and transfer to a medium bowl. Add the cream cheese and orange gel food coloring and combine using a handheld electric mixer. Gently fold in the remaining sandwich cookie crumbs.
Flip half of the cooled cookies so they are flat-side up; spread each with 1 to 2 tablespoons of the cream cheese filling. Sandwich them with the remaining cookies flat-side down.
Melt the chocolate in the microwave, stirring halfway through, 1 minute to 1 minute 30 seconds. Dip half of each whoopie pie into the chocolate, letting the excess drip off into the bowl, immediately dip into the sprinkles, then place on the parchment-lined baking sheets to harden, about 15 minutes.