Line a cookie sheet with parchment paper. Preheat your oven to 350 degrees Fahrenheit.
In a large mixing bowl, stir together the cake mix, pudding mix, eggs, water, and vegetable oil. The batter will be very thick.
Dollop the batter into tablespoon-sized scoops onto the prepared cookie sheet. Leave at least an inch and a half to two inches of space between each one. Bake in a preheated oven for 10-12 minutes. Cool on the cookie sheet for at least 5 minutes before moving to a cooling rack to cool completely.
The filling will need to be chilled for a little bit so while the cookies are cooling, we’ll start on the filling. In the bowl to your stand mixer, beat the butter, powdered sugar and vanilla extract on high speed until fluffy.
Add the marshmallow fluff and continue beating until smooth.
Divide the filling evenly into 3 separate bowls. Add orange food colouring to one bowl, green to the next and purple in the last. Stir to mix the colour in. Pop in the fridge to chill for at least 10 minutes while the cookies are finished cooling.
Once the cookies are cool, pipe approximately 1 tablespoon of the chilled filling onto the flat side of the cookie. Top with the flat side of a second cookie. Serve immediately.