Place oven racks in upper and lower thirds of the oven. Preheat the oven to 375ºF. Line two baking sheets with parchment paper. In a medium bowl, whisk together the flour, cocoa powder, espresso powder, baking soda, baking powder and salt; set aside.
In the bowl of a stand mixer fitted with the paddle attachment (or a hand held mixer), cream the butter and sugar on medium-high speed until light and fluffy, about 2-3 minutes. Add the Kahlúa and egg, beating until blended. Add one-third of the dry ingredients and blend. Add one-half cup of milk and blend. Continue adding the remaining dry ingredients and milk, alternating as you go. Scrape down the sides of the bowl and beat again until well blended. Using a 1-ounce ice cream scoop (about 2 tablespoons), drop the batter onto the prepared baking sheets, spacing cakes 3-inches apart (I bake 6 cakes per sheet). Bake for 10-12 minutes, rotating sheets half-way through baking or until the center of the cake springs back when lightly pressed. Keeping cakes on the parchment, transfer to a wire rack to cool completely. Continue with the remaining batter.
Using a stand mixer fitted with the paddle attachment (or a hand held mixer), cream the butter, mascarpone, and vanilla seeds. Add the confectioners' sugar and beat on low until blended. Increase the speed to high and beat until light and fluffy, about 3-4 minutes. Using a knife, an off-set spatula, or a piping bag fitted with a large round tip, pipe the filling on the bottom of half the cakes. Top with the remaining cakes, bottom side down to form a sandwich. Wrap the pies in plastic wrap and refrigerate. Set the pies out on the counter for 30 minutes before serving. Assembled pies can be stored in the refrigerator for up to three days. Enjoy!