CAKE: Cream shortening, sugar, egg and cocoa together. Sift flour, soda and salt together. Add alternately with milk and vanilla. Drop by teaspoonful onto ungreased baking sheet. Bake at 400 degrees for 8-10 minutes. Cool.
FILLING: Beat shortening, butter and confectioners' sugar together until creamy. Add marshmallow and vanilla. Mix until smooth. Spread filling between two cooled cakes. Serve.