Oven at 400. Blend cake mix, eggs, water, oil until you can shape into ball; let stand for about 20 minutes.
Form dough into 1/2 inch balls and set 2-inches apart on greased cookie sheets. Flatten each with bottom of glass greased once and dipped into cocoa powder once for each cookie.
Bake for 8 minutes. Remove at once and immediately flatten again with back of spatula. Let cool for 20 minutes. Spread about 1 tablespoon filling between every two cookies. Press gently to round filling. Chill until set. (Cookies can be frozen.)
Filling: Soften gelatin in water; place in heatproof cup in pan of hot water until gelatin is clear. Beat shortening until light and fluffy, add sugar and vanilla. Beat well, about 10 minutes. Cool gelatin and beat into filling.