In a small heavy saucepan combine 5 ounces semisweet chocolate, unsweetened chocolate, and butter. Cook and stir over low heat until melted and smooth; set aside to cool slightly. In a small bowl stir together the flour, baking powder, salt, and espresso powder; set aside.
In a medium mixing bowl beat eggs, granulated sugar, and 1 teaspoon vanilla with an electric mixer on high speed for 4 minutes or until thick and light yellow in color. Fold in melted chocolate mixture. Fold in flour mixture until combined. Fold in semisweet chocolate pieces. Cover and chill batter for 30 to 60 minutes or until batter thickens slightly.
Preheat oven to 350°F. Line two cookie sheets with parchment paper. Drop batter by 2-tablespoon portions (#30 scoop) 2 inches apart onto the prepared cookie sheets. Bake 8 to 10 minutes or until edges are firm and tops are crackled. Cool on cookie sheets for 2 minutes. Transfer to a wire rack and let cool.
For filling, in a small bowl combine mascarpone cheese, powdered sugar, whipping cream, and 1 teaspoon vanilla. Beat with an electric mixer on low speed just until mixture thickens. Add food coloring gradually, mixing well after each addition, until filling reaches desired shade of orange. Spread about 2 tablespoons filling each on the flat sides (bottoms) of half of the cookies. Press the flat sides of the remaining cookies against the filling, tilting the top cookie to resemble a mouth opening.
Cut marshmallows in half. Attach a candy-coated peanut butter piece to the sticky side of each marshmallow half. Cut a small wedge from the bottom of each marshmallow eye to create a sticky base; immediately attach two eyes to each cookie so the eye stands upright on the sandwich cookie. If necessary, dip bottoms of marshmallows in melted semisweet chocolate to help adhere the marshmallow to the top of the cookie. Store cookies, tightly covered, in the refrigerator for up to 3 days.
Layer filled cookies between sheets of waxed paper in an airtight container; cover. Store in the refrigerator for up to 3 days or freeze for up to 1 month.