Cream the shortening and sugar together. Add eggs, milk, and vanilla and beat until fluffy.
Combine flour, oats, salt, baking soda, and baking powder and mix it all together.
Slowly add the dry ingredients to the wet ingredients and mix thoroughly. Wrap the dough in plastic wrap and place in the refrigerator to chill for at least two hours.
Meanwhile, make the date filing using a small saucepan to combine the sugar and flour and add the chopped dates. Add the water and cook over medium-high heat while stirring constantly. Use an immersion blender if desired to help blend the date filling together.
Remove the dough from the refrigerator and using small portions, roll it out onto a lightly floured board to ¼ inch thickness. Cut with a round cutter.
Place bottom layer of cookies on a greased cookie sheet, about 1 inch apart from each and put a teaspoon of the date filling on top of each cookie. Cover with another piece of dough and fasten the edges securely.