Heat oven to 350 degrees.

Combine the flour, cocoa, and salt in a bowl. Set aside.

In a mixer, combine the softened butter and sugar until light and fluffy.

Add the egg yolk, milk, and vanilla. Mix until just incorporated.

Add the flour mixture, mix.

Wrap the dough in plastic wrap and refrigerate until chilled, about an hour.

Whisk an egg white in a bowl, set aside.

Place the chopped pecans in another bowl.

Roll the dough into 1 inch balls and dip into the egg whites, then roll in the pecans.

Place the balls on a cookie sheet lined with parchment paper.

Using a 1/2 tsp. measuring spoon, press an indentation in the middle of each cookie ball to hold the caramel.

Bake the cookies for about 12 minutes.

Meanwhile, unwrap about 15 caramels and place them in a bowl with the heavy cream.

Microwave for about 1 to 2 minutes, stirring occasionally, until smooth.

When the cookies are done, re-press the indentation with the measuring spoon and fill the pocket with caramel.

Let cool, completely.