Combine peanut butter and softened butter in a large bowl. Add the sugars and mix to combine. The filling should roll easily into balls without sticking to your hands. If not, add a little more powdered sugar until you reach a consistency that is easy to roll.
Use a teaspoon measure to scoop the filling. Roll each portion into a small ball, then sandwich them between two whole pretzels. Place on a cookie tray lined with wax or parchment paper. When all the balls are rolled and successfully sandwiched, stick the whole tray in the freezer for about half an hour to firm up.
In a small saucepan, combine the chocolate chips and shortening. Heat over low or medium/low heat, stirring often until completely melted. Remove the pretzel sandwiches from the freezer and quickly dip each half-way into the melted chocolate. Return to the tray and repeat with remaining sandwiches. When all are dipped, return the tray to the freezer to set up completely. Store the sandwiches in the refrigerator until ready to serve.