If you are wondering about the difference between Moon Pies vs. whoopie pies, Moon Pies are a brand of sandwich cookie. They consist of two vanilla cookies sandwiched around a marshmallow filling that are then dipped in a chocolate glaze. These are different from whoopie pies, which are traditionally made from two chocolate cake halves that are sandwiched around a vanilla filling that is sometimes, but not always, marshmallow based.