Preheat oven to 350 degrees. Line a large baking sheet with parchment paper. Set aside.

In a medium bowl, whisk together flour, cocoa powder and salt. Set Aside.

In the bowl of a stand mixer, cream butter and sugar at medium speed until light and fluffy. Add egg yolk, heavy cream and vanilla and mix until well combined, scraping down the sides of the bowl when necessary.

Gradually add the flour mixture until blended. Shape dough into one-inch balls and place on prepared sheet two inches apart.Press thumb into center of each ball. Bake for 10 minutes, until set.

Let cool for 5 minutes.

While cookies cool, make peanut butter filling.

In a small bowl, beat together peanut butter and butter until smooth. Gradually add the confectioner's sugar alternately with the 2 Tbsp. milk, starting with the sugar and beat until smooth. Spoon the filling into a small ziploc bag. Snip one corner and pipe filling into cooled cookies.