Preheat oven to 350 °F. Spray whoopie pie pan with non-stick spray.
Mix almond flour, protein powder, brown sugar sweetener, baking powder, baking soda, and salt into a bowl. Set aside.
Beat butter and sugar with a mixer on medium-high speed, until creamy; about 2 minutes. Add eggs and 1 teaspoon vanilla, beating until incorporated. Scrape down the sides of the bowl. Add sour cream, then dry mixture.
Using a small teaspoon, scoop the batter into each whoopie pie mold, filling about ⅔ of the space. Place some cocoa powder in a small strainer and sprinkle a bit of the cocoa powder on top of each batter scoop.
Bake until edges are golden, about 10-12 minutes.
Cool on wire rack about 10 minutes then remove cookies from pan and allow to cool. (Unfilled cookies can be stored for up to 1 day.)
Once cooled, turn cookies upside-down on rack.
Mix espresso and 3 tablespoons dark rum in small bowl. Spread about ¼ teaspoon of the espresso liquid on the bottom side of each cookie.
Beat mascarpone cheese, low carb sugar substitute, salt, heavy cream vanilla and 1 T. dark rum with mixer until smooth. Spoon some of mascarpone cheese mixture onto the chocolate half the cookies. Place the other half of the cookies on top. Serve immediately or place in refrigerator. (These cookies can also be individually wrapped in plastic and kept in the freezer.)