In a mixing bowl, beat together peanut butter, powdered sugar, salt, vanilla extract, and whole milk until smooth. Set aside.

Preheat oven to 350°F (175°C) and line baking sheets with parchment paper. Whisk together flour, cocoa powders, pudding mix, baking soda, and salt.

In another bowl, beat together granulated sugar and butter until light and fluffy. Mix in egg, additional egg yolk, milk, and vanilla extract.

Fold the dry mixture into the wet mixture until combined. The dough should be slightly thick and sticky.

Gently fold in the Reese's Pieces and peanut butter chips.

Portion out the dough onto baking sheets, flatten slightly, place peanut butter filling in the center, and wrap the dough around the filling.

Bake for 10-12 minutes until edges are set and centers are soft. Allow to cool briefly on baking sheets before transferring to wire racks.