Preheat the oven to 400 degrees F (200 degrees C). Grease cookie sheets.
In a large bowl, cream together 1 cup of shortening and white sugar until light and fluffy. Beat in the eggs one at a time then stir in the vanilla and sour milk. Combine the flour, cocoa and salt, stir into the creamed mixture. Stir together the baking soda and hot water then mix them into the batter last. Drop by tablespoonfuls onto the prepared cookie sheet.
Bake for 8 minutes in the preheated oven, until firm but not overbaked. Allow cookies to cool on baking sheets for a few minutes before removing to wire racks to cool completely.
To make the filling: In a medium bowl, cream together the 1 1/2 cups shortening with the confectioners' sugar and 1/4 cup of flour until light and fluffy. Gradually beat in the milk and vanilla until well mixed, then fold in the egg whites. Sandwich at least 1 tablespoon of filling between the flat sides of two cookies.