Preheat oven 350º F. Line a baking sheet with parchment paper or a silicone baking mat.
Mix butter, shortening, brown sugar, egg yolks, and vanilla thoroughly with an electric mixer.
Whisk flour and salt together in a separate bowl. Combine dry ingredients with butter mixture and mix until combined.
Beat egg white with fork. Scoop 2 teaspoon sized portions of dough and roll into balls. Dip dough balls into egg whites. Transfer to chopped pecans and coat thoroughly.
Place 1 inch apart on prepared cookie sheet. Use a 1/2 tsp measuring spoon to indent the middle of each cookie dough ball.
Bake 10 – 12 minutes. Once you remove the tray of cookies from the oven, use the 1/2 tsp measuring spoon and indent each cookie again, pressing sides back together when needed, if cookies cracked.
Fill each cookie with warm caramel. Let cool to set.
Video
Notes
If you use a package of Caramel Bits: pour the caramel bits into a microwave-safe dish and add 2 TBSP milk. Microwave for about 1 minute 20 seconds. Bits won’t necessarily look melted, but once you begin stirring them, they’ll run smooth. If they don’t, put back in the microwave for another 10 seconds. Makes 3.5- 4 dozen thumbprint cookies.