Preheat the oven to 350°F (175°C) and line baking sheets with parchment paper.
In a large bowl, mix chocolate cake mix, vegetable oil, and eggs until a thick dough forms. Drop tablespoon-sized balls onto the sheets, spacing them 2 inches apart.
Bake for 8–10 minutes until edges are set but centers are soft. Cool on the sheet for 5 minutes, then transfer to a wire rack.
In a medium saucepan, combine evaporated milk, sugar, egg yolks, and butter. Cook over medium heat, stirring constantly, for about 10 minutes until thick enough to coat a spoon.
Remove from heat and stir in vanilla, shredded coconut, and chopped pecans. Let cool to room temperature.
Spread the coconut-pecan filling on the flat side of one cookie. Top with another cookie and press gently to sandwich. Repeat with the remaining cookies. Serve immediately or store in an airtight container.