To make the cakes: Preheat the oven to 350°. Lightly grease or line two sheet trays with parchment paper., In a large mixing bowl, cream together the shortening, sugar and egg. In a separate bowl, whisk together the cocoa(s), flour, baking powder, baking soda and salt. Stir the vanilla into the milk., Add the dry ingredients to the shortening mixture alternately with the milk/vanilla mixture, beating until smooth. Drop the dough by the 1/4-cupful, onto the prepared baking sheets, leaving about 2" between each cake., Bake the cakes for about 15 minutes, or until they're firm to the touch. Remove them from the oven and cool completely on a rack., To make the filling: Beat together the shortening, sugar and marshmallow, then stir in the salt and vanilla., To assemble the pies: Turn the cakes over, so the flat side faces up. Spread the flat side of the cakes with the filling; top with the flat side of the remaining cakes., Store for several hours at room temperature; refrigerate, covered, for up to 3 days.