Preheat the oven to 350℉.
Place the butter and granulated sugar in a large bowl and cream together until smooth and creamy. Add the wet ingredients (egg, oil, and vanilla extract) and beat well until until smooth and well-incorporated.
In a separate bowl, sift the flour, cocoa powders, baking powder, and powdered sugar and then add to the sugar-butter mixture, beating until just mixed. Add the coconut and mix until well incorporated and a soft dough forms.
Work the dough into a ball and transfer to a floured surface. Place a sheet of plastic wrap over the dough ball and roll out to about a quarter inch thickness. Using a fork, gently scrape the top of the dough multiple times in multiple directions to create a rough texture on the outside of the cookies.
Cut shapes with an oval cookie cutter and transfer to a greased or parchment lined baking sheet. Bake at 350℉ for 15-17 minutes and remove from the oven, letting cool for about 10 minutes before transferring to cooling rack to cool completely.
Once cool, heat the milk chocolate in the microwave in 30 seconds at a time, removing to stir between each interval until the chocolate is completely melted. Let it cool for about 3 minutes, then spoon a small amount over the bottom of one cookie and immediately sandwich with another on top, letting the chocolate just barely ooze out the side. Place back onto cooling rack and let the chocolate set.