Preheat your oven to 350°F (175°C). Line a baking sheet with parchment paper.

In a medium bowl, whisk together the all-purpose flour, baking powder, and salt.

In a large mixing bowl, cream the unsalted butter and granulated sugar using an electric mixer for about 3-4 minutes until light and fluffy.

Add the room temperature egg and pure vanilla extract to the butter mixture, mixing until fully incorporated.

Gradually pour in the milk while mixing on low speed until combined.

Slowly add the dry flour mixture into the wet ingredients bowl, mixing until a soft dough forms.

Scoop out portions of the cookie dough and roll into balls, coating each in powdered sugar.

Place the dough balls onto the prepared baking sheet and bake for 10-12 minutes.

Gently press the back of a teaspoon into the center of each cookie to create a well for the filling.

In a medium bowl, beat the mascarpone cheese until smooth, then mix in the heavy cream, powdered sugar, espresso powder, and vanilla extract.

Fill each well of the cooled cookies with the creamy espresso filling.

Dust the filled cookies lightly with cocoa powder before serving.