(1 whoopie pie)
For the Cookies, preheat oven to 350°F. Beat cake mix, water, cocoa powder, oil, food color, eggs and vanilla in large bowl with electric mixer on low speed just until moistened, scraping sides of bowl frequently. Beat on medium speed 2 minutes.
Spoon 1 tablespoon of batter, 2 inches apart, onto parchment paper-lined baking sheets. (Cookies will spread so avoid crowding them on baking sheet.)
Bake 8 minutes or until cookies are puffed and spring back when touched, turning baking sheets halfway through baking. Cool on baking sheets 1 minute. Remove to wire racks; cool completely.
For the Orange Filling, beat all ingredients in medium bowl with electric mixer on medium speed until light and fluffy. To assemble the Whoopie Pies, place 1 tablespoon filling on flat side of 1 cookie. Top with a second cookie, pressing gently to spread the filling. Repeat with remaining cookies and filling. Store whoopie pies between layers of wax paper in airtight container in refrigerator up to 5 days.