1 cup flour
1/3 cup cocoa powder
1/4 tsp. salt
8 tbsp. butter softened
2/3 cup sugar
1 large egg, separated, plus 1 egg white
2 tbsp. milk
1 tsp. vanilla extract
1 cup chopped pecans, chopped fine
14 soft caramels
3 tbsp. heavy cream
Adjust oven rack to upper-middle and lower middle positions and heat oven to 350 degrees. Line 2 baking sheets with parchment paper. Combine flour, cocoa, and salt in bowl. With electric mixer on medium high speed, beat butter and sugar until fluffy, about 2 minutes. Add egg yolk, milk, and vanilla and mix until incorporated. Reduce speed to low and add flour mixture until just combined. Refrigerate dough until firm, at least 1 hour.
Whisk egg white in another bowl until frothy. Place pecans in another bowl. One at a time, roll dough into 1 inch balls, dig in egg whites, then roll in pecans. Place balls 2 inches apart on prepared baking sheets. Using teaspoon, make indentation in center of each ball. Bake until set, 10 to 12 minutes, switching and rotating sheets halfway through baking.
Meanwhile, microwave caramels and cream in bowl, stirring occasionally, until smooth, 1 to 2 minutes. Once cookies are removed from oven, gently press existing indentations with teaspoon. Fill each with 1/2 to 1 teaspoon caramel mixture. Cool 5 minutes, then transfer to wire rack and cool completely.