Preheat the oven to 350 F and line two baking sheets with parchment paper.
Beat the butter and granulated sugar until light and creamy. Mix in the egg yolk and vanilla until smooth.
Add the flour, cocoa powder, and salt to the butter mixture. Mix just until a soft dough forms.
Lightly beat the egg white in a shallow bowl. Divide the dough into 14 portions, coat each one with egg white, and roll it in the chopped pecans.
Arrange the cookies on the prepared baking sheets and press a deep indentation into each center. Bake for 10 to 12 minutes, reinforcing the indentations as soon as the cookies leave the oven.
Melt the caramels and heavy cream over low heat, stirring until smooth. Spoon the warm caramel into the cooled cookie centers.
Melt the semisweet chocolate with the coconut oil and drizzle it over the cookies. Let the caramel and chocolate set for 30 minutes before serving.