Preheat your oven to 450 degrees F. Line two baking sheets with parchment paper; set aside.
In a medium bowl, whisk together the all-purpose flour, unsweetened cocoa powder, baking soda, and salt; set aside.
In a large mixing bowl, using an electric mixer, cream together the vegetable shortening and granulated sugar on medium speed until light and fluffy, about 3 minutes.
Add the whole egg, egg yolk, and vanilla extract to the mixture, beating for another 1 to 2 minutes until everything is smooth and well combined.
Reduce the mixer speed to low, and add one-third of the flour mixture, mixing until just combined.
Add the buttermilk and mix again, followed by another third of the flour mixture, the hot water, and then the remaining flour mixture.
Using a rubber spatula, give the batter a few quick folds to ensure all ingredients are incorporated.
Drop the dough onto the prepared baking sheets using a medium cookie scoop, ensuring each scoop is about 1½ tablespoons of dough.
Bake in the preheated oven for 5 to 6 minutes. The cookies should appear puffed and completely set.
Let the cookies cool on the baking sheets for about 5 minutes before transferring them to a wire rack to cool completely.
While the cookies are cooling, make the filling. In a mixing bowl, cream together the marshmallow fluff and the remaining vegetable shortening until light and fluffy, about 3 minutes.
Reduce the speed to low and gradually add the powdered sugar, salt, and vanilla extract. Mix until all the sugar has been incorporated, then increase the speed to medium and beat for another 3 to 5 minutes until the mixture is fluffy.
Assemble the gobs by spreading some of the filling onto the bottom side of half of the cookies with a pastry bag or spoon, and then top them with the remaining cookies.
Your Chocolate Gobs can be stored at room temperature in an airtight container for up to 4 days. Enjoy these sweet treats with family and friends!