In the bowl of an electric stand mixer fitted with the paddle attachment, whip butter, sugar and salt on medium speed until smooth and creamy. Mix in egg yolk and vanilla. In a separate bowl, combine flour and cocoa powder. Gradually add flour mixture, beating at low speed until well mixed and dough forms. Cover dough and refrigerate for about 30 minutes.

Preheat oven to 350 degrees F. Line 2 baking sheets with parchment paper or a Silpat.

Roll the cookie dough into about 1 tablespoon balls using your hands. Make sure they're nice and smooth.

Place egg whites in a shallow bowl and lightly whisk. In another shallow bowl, place chopped walnuts. Dip each ball into egg whites, then roll each ball in chopped nuts (if necessary, you can gently press into the nuts to help them stick). Place cookies about 1-2 inches apart on the baking sheet. Make an indentation with your thumb (or something like the handle of a wooden spoon) into each ball. Bake for 8-9 minutes.

Meanwhile, make the filling: using an electric mixer on medium speed, beat cream cheese until light and fluffy. Add sugar, lemon zest and salt. Mix until smooth. Add egg yolk and vanilla, and beat until smooth.

Remove cookies from oven. Using the handle of a wooden spoon, gently press down on existing indentation (to create more space for cream cheese filling). Spoon a teaspoon of the filling into each indentation. Mound the filling slightly. Bake for an additional 8 minutes, until filling is set. Allow the cookies to cool on the baking sheet for 5 minutes before transferring to a wire rack.

Melt the chocolate and shortening in the microwave, and scoop into a ziplock bag. Barely snip the corner and drizzle over the cookies. Allow to set.