Preheat the oven to 350°F (175°C) and line a baking sheet with parchment paper. In a large bowl, mix milk, heavy cream, and banana pudding mix with a hand mixer until very thick. Cover and refrigerate for 45–60 minutes.
Beat sugar, butter, and vanilla together until light and fluffy, then mix in eggs.
In a separate bowl, whisk salt, baking powder, baking soda, and flour.
Alternate adding milk and dry ingredients to the batter, mixing until smooth.
Once smooth your batter is ready to scoop.
Scoop about 1½ tablespoons of batter onto the baking sheet, spacing cookies 2–3 inches apart.
Bake for 12–14 minutes until bottoms are lightly golden and tops remain pale. Cool completely.
Pipe pudding onto half the cookies, top with remaining cookies, dust with powdered sugar if desired, and serve.
Notes
Clean up batter edges before baking for rounder cookies.Use a piping bag for even filling.Chill assembled pies briefly for the cleanest bite