Preheat oven to 350 F. Prepare baking sheets by greasing or lining with parchment paper.
In mixing bowl, add cake mix, water, eggs, and oil. Mix on medium for 1 minute. Scrape down sides of bowl with rubber spatula. Add pudding and mix for 1 minute on medium. Scrape down side of bowl with a rubber spatula. Mix until completely combined, about 30 seconds.
Drop batter onto prepared cookie sheet. The size of the circle should be 2 1/2 to 3 inches in diameter.
Bake for about 14 minutes or until toothpick inserted into the center of the pie comes out clean. Transfer pies to cooling rack and let cool, about 15 minutes
Make the filling!
Combine all-vegetable shortening, confectioner's sugar, vanilla, milk and marshmallow fluff. Mix until you reach the desired consistency. Add more marshmallow fluff for a thicker filling.
Place the pies so that the flat side is facing up. Spoon a dallop of filling on this pie and top with the flat side of another pie to form the Whoopie Pie.
Feel free to experiment with the fillings. Peanut butter instead of marshmallow fluff would be a great exchange! Some say these taste better after being chilled in the refrigerator for a few hours.