Preheat oven to 375 F.
Place pumpkin and butter in a large bowl and beat at medium speed until smooth.
Add cake mix, eggs, milk. Beat on low to combine. Turn back up to medium and beat for another minute.
On a parchment-lined cookie sheet, drop large tablespoons of batter, keeping them 3 inches apart. Chill remaining batter between batches.
Bake cookies about 15 minutes or until done. They should be lightly browned at the edges. Carefully place cookies on rack to cool. Repeat with remaining batter.
Cookies may be stored in a covered container at room temperature for 24 hours if you are not ready to fill them yet. You will want to place waxed paper or parchment between the layers to keep them from sticking.
To fill, spread Spiced Marshmallow Filling on the flat side of one cookie and make a sandwich with by placing the flat side of a second cookie on top. These may be served immediately or chilled until ready to serve. Keep covered in refrigerator to keep from drying out.
Spiced Marshmallow Filling: With electric mixer, beat until smooth, the butter and cream cheese. Add powdered sugar, marshmallow cream, vanilla, cinnamon, and nutmeg. Beat until combined.