Combine flour, cocoa, and salt; set aside.
With electric mixer on medium-high speed, beat butter and sugar until light and fluffy, about 2 minutes. Add egg yolk, milk, and vanilla; mix until incorporated.
Reduce speed to low and add flour mixture until just combined. Wrap dough in plastic wrap and refrigerate until firm for 1 hour. Meanwhile, whisk egg whites in a bowl until frothy. Place chopped pecans in a separate bowl.
Remove dough from refrigerator and roll into 1-inch balls, dip in egg whites, and roll in pecans. Place balls about 2 inches apart on a baking sheet lined with a Silpat mat. Using a 1/2 teaspoon round measuring spoon (or you can use the tip of a wooden spoon handle) to make an indentation in the center of each dough ball.
Bake at 350 degrees Fahrenheit until set, about 12 minutes. To make caramel filling, microwave the caramels and 3 tablespoons heavy cream together in a small bowl, stirring occasionally until smooth, about 1 to 2 minutes.
Remove cookies from oven, gently re-press the indentations. Fill each indentation with 1/2 teaspoon of caramel mixture. Cool on pan for 10 minutes, then transfer to a wire rack to completely cool.
To make the chocolate drizzle, place chocolate baking squares and shortening in a microwave-safe bowl. Microwave for 1 to 1 1/2 minutes, stirring until the chocolate and shortening are melted. Place the chocolate mixture into a plastic bag and snip a tiny hole in the corner. Drizzle chocolate over the cooled cookies.