Combine all dry ingredients for cookies: cocoa powder, powdered erythritol, and almond flour. Add in egg and oil and stir. Wrap the dough in plastic wrap and refrigerate for one hour.

Beat cream cheese with vanilla and sweetener with an electric mixer.

Preheat the oven to 350° and line a baking tray with parchment paper. Add more cocoa powder on a clean surface and roll the dough. Use a cookie cutter to cut the dough.

Add vanilla filling on one side of a cookie and place the second one on top.