HEAT oven to 350ºF. Spray baking sheets with no-stick cooking spray; set aside.
COMBINE 1/2 cup shortening, sugar, 1 tablespoon milk, 1/2 teaspoon vanilla and egg yolk in medium bowl; beat at medium speed of electric mixer until well blended. Add melted chocolate; mix well. Combine flour and salt; add to chocolate mixture. Mix until blended.
STIR in chocolate chips. Form dough into 1-inch balls. Place 2 inches apart on prepared baking sheet. Press thumb gently into center of each cookie.
BAKE 8 minutes. Re-press centers after baking. Remove to cooling rack; cool completely. Spoon or pipe peanut butter cream filling into center of each cookie.
Peanut Butter Cream Filling: COMBINE 2 tablespoons shortening and peanut butter in medium bowl. Stir until blended. Add powdered sugar; stir well. Add 2 tablespoons milk and 1/2 teaspoon vanilla; stir until smooth. Fill cooled thumbprint cookies.