Make the Cookie Dough : Begin by preheating your oven to 350°F (175°C) and prepare two baking sheets by lining them with parchment paper. In a medium bowl, whisk together the flour, cocoa powder, baking soda, baking powder, and salt. Set aside. In a spacious mixing bowl, use an electric mixer to beat the softened butter and granulated sugar together until the mixture is airy and has a light, fluffy texture. Add the egg and red food coloring, mixing until fully incorporated. Slowly incorporate the dry ingredients into the wet mixture, stirring until a smooth dough comes together.

Shape and Bake the Cookies : Scoop small amounts of dough (about 1 tablespoon) and roll into balls. Arrange them on the lined baking sheets, leaving approximately 2 inches of space between each one. Flatten each dough ball slightly with your fingers or the back of a spoon. Bake in the preheated oven for 8-10 minutes, or until the cookies are set. Allow the cookies to cool on the baking sheets for a few minutes before transferring them to a wire rack to cool completely.

Prepare the Filling : In a mixing bowl, beat the powdered sugar, vegetable shortening, and softened butter until smooth. Add the hot water and vanilla extract, and continue to beat until the filling is light and fluffy.

Assemble the Red Velvet Oreos : Once the cookies are completely cool, spread or pipe a generous layer of filling on the flat side of one cookie. Top with another cookie to create a sandwich.

Serve : Serve the red velvet Oreos immediately, or store in an airtight container at room temperature for up to 3 days.