Preheat the oven to 190°C (375°F/Gas 5). Grease 2 baking trays.
In a large bowl using an electric mixer, beat the butter and sugar until light and creamy. Beat in the egg and vanilla. Combine the flour, cocoa, bicarbonate of soda and salt; add to the creamed mixture alternately with ¼ cup (60 ml) water and the buttermilk, beating well after each addition.
Drop tablespoonfuls of mixture 5 cm (2 inches) apart onto the trays. Bake for 5–7 minutes, or until set. Transfer to wire racks to cool completely.
To make the filling, melt the marshmallows in the microwave for 8–10 seconds. Set aside to cool to room temperature. In a small bowl using an electric mixer, beat the butter and vanilla until fluffy. Beat in the marshmallows and icing sugar and beat well until thick. Spread on the flat sides of half of the cookies; sandwich with the remaining cookies.