Preheat oven to 350 degrees. Line two baking sheets with parchment paper.
Whisk together flour, cocoa powder, malted milk powder, baking soda, and salt.
With an electric mixer, beat butter and sugar on medium-high speed until pale and fluffy Beat in vegetable oil, then stir in the sour cream. Mix in egg, and vanilla.
Add half the flour mixture and stir until blended, then stir in 3 tablespoons of hot water. Stir in remaining flour mixture. The batter will be fairly soft. At this point you can scoop it onto the trays, or do what I do for nicer looking cookies. Scoop 36 portions of dough onto foil or parchment lined plates or trays that fit in the refrigerator. Chill the portions until they are slightly firm, then roll to make neat balls.
Arrange dough 3 1/2 inches apart on parchment lined baking sheets and bake until flat and just firm, 10 to 12 minutes. Let cool on parchment on wire racks.
Making filling: Melt chocolate and butter together in the microwave using high and stirring every 30 seconds.
In a second bowl, beat the malted milk powder and cream cheese on medium speed until smooth. Gradually mix in chocolate mixture, and vanilla. Stir in the whole milk on tablespoon at a time. At this point batter will be too thin to sandwich, so chill uncovered for about 30 minutes or just until it is less runny.
Sandwich the filling between the cookies.