How to Make It
Make the cookies: Whisk together the oats, flour, cinnamon, baking soda, and salt in a bowl.
Beat the butter and sugar in a bowl with an electric mixer on medium-high until light and fluffy, 2 to 3 minutes. Beat in the eggs, one at a time, then the vanilla, scraping down the sides of the bowl as necessary. Reduce mixer speed to low and gradually add the flour mixture, mixing until just combined. Chill for 1 hour and up to 2 days.
Heat oven to 350° F. Line 2 baking sheets with parchment.
Shape the dough into balls (about 2 tablespoons each) and place 4 inches apart on the baking sheets. Bake, in batches, rotating the sheets halfway though, until golden brown around the edges, 10 to 12 minutes. Let cool slightly on the baking sheets, then transfer to a wire rack to cool completely.
Make the filling and assemble the cookies: Beat the butter, marshmallow, and salt in a bowl with an electric mixer on medium-high until light and fluffy, 1 to 2 minutes. Form sandwiches with the cookies and filling (about 1 tablespoon each).