Preheat oven to 375°. In a large bowl, cream butter and sugar until light and fluffy. Beat in egg, milk and vanilla. In another bowl, whisk flour, cocoa, baking soda and salt; gradually beat into creamed mixture. Stir in pecans.
Drop dough by rounded tablespoonfuls 2 in. apart onto ungreased baking sheets. Bake 6 minutes. Press a marshmallow half onto each cookie, cut side down. Bake 2-3 minutes longer or until edges of cookies are set and marshmallows are softened. Remove from pans to wire racks to cool completely.
For icing, in a microwave, melt butter and chocolates; stir until smooth. Stir in confectioners' sugar and enough coffee to reach a drizzling consistency. Drizzle over cookies. Let stand until set.