Beat the butter, sugar and egg in a small bowl with an electric mixer until combined. Stir in sifted flours and cocoa, in two batches.
Knead dough on a floured surface until smooth. Roll between sheets of baking paper until 3mm thick. Cover and refrigerate for 30 minutes.
Preheat the oven to moderate (180°C/160°C fan-forced). Grease oven trays and line with baking paper.
Using a 7cm round fluted cutter, cut 28 rounds from dough. Place about 3cm apart on trays.
Bake for about 12 minutes. Cool on wire racks.
Turn half the biscuits base-side up and place on an oven tray. Use scissors to cut marshmallows in half horizontally. Press four marshmallow halves, cut-side down, onto biscuit bases on tray. Bake 2 minutes.
Melt chocolate in a medium heatproof bowl over medium saucepan of simmering water. Remove from heat; stir in oil.
Spread jam over bases of remaining cookies and press onto the softened marshmallow. Stand for 20 minutes or until marshmallow is firm. Dip wheels into chocolate and smooth away excess chocolate using a metal spatula. Place on baking paper-lined trays to set.