Preheat oven to 350°F (175°C) and line two baking sheets with parchment paper.
In a medium bowl, whisk together flour, cocoa powder, baking soda, and salt.
In a large bowl, beat butter and sugar until light and fluffy. Add the egg and vanilla and mix until combined.
Alternate adding the dry ingredients and buttermilk, mixing until smooth.
Divide batter evenly into two bowls. Tint one red and one blue using gel food coloring.
Spoon 1-tablespoon mounds of batter onto prepared sheets, spacing 2 inches apart.
Bake for 10–12 minutes, until tops spring back when touched. Let cool completely.
For the filling: beat butter, powdered sugar, vanilla extract, and marshmallow creme until smooth and fluffy.
Pipe or spoon filling onto flat side of half the cookies, then top with the remaining cookies to form sandwiches.