Prepare the Dry Ingredients: Combine the flour, cocoa powder, and salt in a bowl. Set this mixture aside.

Mix Butter and Sugar: Beat the softened butter and granulated sugar together until light and fluffy, about 2 minutes.

Add Wet Ingredients: Add the separated egg yolk, milk, and vanilla extract to the butter and sugar. Mix until well incorporated.

Combine Mixtures: Reduce mixer speed to low and gradually add the flour mixture. Mix until just combined, being careful not to overmix.

Chill the Dough: Wrap the dough in plastic wrap and refrigerate until firm, about 1 hour.

Prepare the Egg Whites and Pecans: Whisk the egg whites until frothy, and place the chopped pecans in another bowl.

Shape the Cookies: Roll chilled dough into 1-inch balls, dip each in egg whites, then coat with chopped pecans. Place dough balls on a baking sheet, about 2 inches apart.

Make Indentations: Press down in the center of each dough ball to create an indentation using a 1/2 teaspoon measuring spoon.

Bake the Cookies: Preheat the oven to 350°F (175°C) and bake the cookies until set, about 12 minutes.

Re-Press Indentations: After baking, gently re-press the indentations to ensure they hold the caramel later.

Make the Caramel Mixture: Microwave the caramel candies and heavy cream together until smooth, about 1 to 2 minutes.

Fill the Cookies: Fill each cookie’s indentation with about 1/2 teaspoon of the caramel mixture.

Cool the Cookies: Let the filled cookies cool on the baking pan for 10 minutes, then transfer them to a wire rack to cool completely.

Prepare the Chocolate Drizzle: Place semi-sweet chocolate and shortening in a small zip-top plastic bag. Set the bag in warm water to soften.

Drizzle Chocolate: Snip a small hole in the plastic bag and drizzle the melted chocolate over the cooled cookies.