Preheat the oven to 350 degrees.
In your stand mixer beat butter for about 30 seconds. Add the sugar, continue beating until creamy. Add the egg yolk, milk, and vanilla, beat until well combined.
Sift the flour, cocoa powder, and salt together in a small bowl. Add the flour mixture to the butter mixture gradually, and beat until well combined.
Wrap the cookie dough in plastic wrap and pop in the fridge for a couple of hours.
Chop your pecans finely.
Beat your egg white.
Shape the dough into 1-inch balls, roll the balls in the egg white. Now roll the balls in pecans until well coated.
Place balls on a parchment lined cookie sheet about one inch apart from each other. Use your thumb to press an indentation into the middle of each cookie, or use something like the blunt end of a honey dripper (they work well for so many things, I use mine all the time for weird things).
Bake in your preheated oven for about 10 minutes. The indentation may have disappeared during baking so press it into the cookie again if need be.
Pour your caramel into the holes of the cookies. Allow it to set and harden a bit.