Begin by creaming the butters and sugars for the cookies. Beat in the egg and vanilla.
In a small bowl mix together your flour, baking soda, baking powder, and salt. Stir the dry ingredients into the wet. Stir in the oats and mix until combined.
Drop spoonfuls (or use a small cookie scoop) of dough onto a parchment lined baking sheet. Make a criss cross with a fork to flatten the cookies. Bake for 10 minutes and allow to cool.
Flip the cookies over so the bottoms are facing up. Spread 1 teaspoon of Nutella on half of the cookies and 1 teaspoon of marshmallow cream on the other half of the cookies. Sandwich the cookies together with the filling in the center.
Marshmallow cream melts easily, so store these in a cool place or eat immediately.