Mix butter and sugar using electric mixer, until well combined. Add in egg yolk, milk and vanilla extract. Reserve egg white in separate bowl/container.
In a separate bowl, combine wheat flour, corn flour, cocoa powder and salt. Then pour these dry ingredients into the wet ingredients in the electric mixer. The dough will be sticky. Cover the dough tightly with plastic wrap and put in refrigerator for 1 - 2 hours.
While waiting for the dough to chill, place the butterscotch sauce ingredients (brown sugar, salted butter, heavy cream and vanilla essence) in a medium saucepan, stir over medium heat for 5 - 6 minutes, or until well combined. Make sure to stir often, until the sauce thickens slightly.
Remove the pan from heat. Set aside until cool to room temperature.
Once the cookie dough is set, preheat oven to 350F degrees. Line a baking sheet with baking mat or parchment paper.
Shape the dough into 1 inch balls. Dip each ball in the reserved egg white, and roll over the chopped mix nuts.
Place on the prepared baking sheet. Lightly press down the center of each ball (using your thumb or 1/2 teaspoon measure). Bake for 13-15 minutes.
Once cookies are removed from oven gently press down the center of each cookie again, let it cool for 10 minutes. Fill each with 1/2 teaspoon butterscotch mixture. Let cool completely and serve.