Preheat the oven to 350 degrees F. Line a baking sheet with parchment paper or a silicone mat or grease it with non-stick cooking spray. Set aside.
In a large mixing bowl, beat the shortening, evaporated milk, water, egg, and vanilla together until smooth and combined.
In a medium mixing bowl, whisk together the flour, sugar, cocoa powder, baking soda, and salt. Slowly add the dry ingredients to the wet and mix until just combined. (If you're adding nuts, fold them in with a rubber spatula now.)
Using a 1 tablespoon cookie scoop (or measuring spoon), drop the cookie dough onto the prepared baking sheet about 2 inches apart.
Bake for 8 minutes, or until the cookies are set. While the cookies are baking, cut the marshmallows in half horizontally.
Once baked, remove the cookies from the oven and transfer them to a wire rack. Cool for 5 minutes and then place one marshmallow half on top of each cookie cut side down (this will help them stick). Let rest to cool completely.
Frosting
In a large mixing bowl, beat together the powdered sugar, cocoa powder, butter, milk, oil, and vanilla until combined. The frosting will have some texture to it and not be perfectly smooth.
Once cooled, use an offset spatula (or the back of a spoon) to generously frost the marshmallows so they look like a mountain. If desired, you can sprinkle a little powdered sugar on top for "snow."