Preheat your oven to 325F with a rack in the middle of the oven. Prepare two or more baking sheets with parchment paper.
In a piping bag, spoon cocoa cookie dough into one half of the bag and ube dough into the other half. Twist to close and cut off 1/2" from the tip.
On a large baking sheet with parchment paper, pipe 1" sized dollops onto the parchment, 2" away from each other. Then take a small square piece of parchment and one by one, place on top of the dough and use the flat bottom of a glass to flatten the cookies to 3/16" thick.
Bake the cookies for 10-14 minutes. When done, remove the sheets from the oven and cool them on a cooling rack on on the pan.
Make the filling while the cookies cool down. Beat the sugar, butter, and vanilla extract together until mixture is light, fluffy, and color is white.
Add the cold water and beat until smooth and spreadable. Mixture will be stiff, but can be flattened between two cookies.
To fill the cookies, take a heaping teaspoon of filling and place into the middle of one cookie. Place another cookie on top and gently squeeze until filling is distributed evenly.
Enjoy!