Preheat oven to 350°F (175°C). Line baking sheets with parchment paper.
In a large bowl, cream together softened butter, granulated sugar, and brown sugar until light and fluffy.
Beat in the egg and vanilla extract.
In a separate bowl, whisk together flour, baking soda, and salt.
Gradually add the dry ingredients to the wet ingredients, mixing until just combined. Stir in the rolled oats.
Drop rounded tablespoons of dough onto the prepared baking sheets, about 2 inches apart.
Bake for 12-15 minutes, or until golden brown around the edges. Let cool on the baking sheets for a few minutes before transferring to a wire rack to cool completely.
To make the filling, whisk together milk, granulated sugar, cornstarch, and egg yolks in a medium saucepan.
Cook over medium heat, stirring constantly, until the mixture thickens and comes to a boil. Boil for 1 minute, stirring continuously.
Remove from heat and stir in the butter and vanilla extract until smooth.
Stir in the mashed bananas. Cover the surface of the filling with plastic wrap to prevent a skin from forming and let it cool completely.
Once the cookie halves and filling are cool, spread a generous amount of filling onto the bottom of one cookie half and top with another cookie half.
Chill for at least 1 hour before serving.
Notes
For best results, ensure your bananas are ripe and mashed well. Store any leftovers in an airtight container in the refrigerator.