Preheat oven to 350 degrees F (175 degrees C). Position racks in the upper and lower thirds of oven. Line 2 baking sheets with parchment paper.
Beat butter and sugar at medium speed with an electric mixer until fluffy, about 4 minutes. Add egg and vanilla, beating until incorporated.
Whisk together flour, cocoa, salt, and cinnamon in a medium bowl until combined. With mixer on low speed, gradually add flour mixture to butter mixture, beating until well combined, about 2 minutes.
Roll dough into 1 1/4-inch balls, then roll balls in sanding sugar. Place on the prepared baking sheets, spacing 2 inches apart. Press the center of each ball with your thumb (about 1/2-inch deep and 1/2-inch wide).
Bake in preheated oven in upper and lower thirds, 2 baking sheets at a time, rotating top to bottom and bottom to top halfway through, until cookies are set and almost firm, 8 to 10 minutes.
Let cool on baking sheets, about 15 minutes. When cool, press the center of each ball with your thumb again—the indentations will have puffed in the oven.
Heat cream in a small microwavable bowl on HIGH until just steaming, about 45 seconds. Remove from the heat, and add chopped chocolate. Let the mixture sit, undisturbed, for 2 minutes. Stir until melted and smooth. Let cool until slightly thickened, about 5 minutes. Place about 1 teaspoon filling in the center of each cookie. Slide the cookies into the refrigerator for about 10 minutes to set the filling. The cookies will keep for about 5 days in an airtight container at room temperature.