Preheat the oven to 375˚ F. Line 2 baking sheets with parchment paper and coat with cooking spray. Mix the cake mix, vegetable oil and eggs in a large bowl until combined. Stir in the sprinkles.
Using a 2-tablespoon ice cream scoop, dollop scoops of the batter on the baking sheets, about 2 inches apart. Dampen your fingers with a little water; press and smooth the tops of each dollop so that they are flattened slightly and even on top. Bake until they are golden and springy to the touch, 12 to 15 minutes. Let cool completely on the baking sheets.
Clean the ice cream scoop, then scoop some ice cream onto the flat side of one cookie and top it with another cookie, flat-side down. Repeat with the remaining cookies and ice cream. Pour some sprinkles into a shallow bowl or rimmed plate, then roll the sides of the sandwiches in the sprinkles until the exposed ice cream is coated. Freeze until ready to serve.