I've never made those, but I make a knock-off of See's Scotch Kisses....
They're very good and are nearly identical. I make my caramel (recipe in Favorites) and cook it softer than it says - I'm going to have to look for my notes and experiment again - it's been a few years since I played with the recipe and made them. I puddled the hot caramel, then put 1/2 a large marshmallow (cut side down) then ladled caramel that was thickening (cooling) on top to cover. They looked messy, but after set, I pulled it up with a knife or fork popped it into a waxed paper wrapper, rolled it alittle to shape, then twisted the ends. Let cool. They were TDF!
I'd say you could use a similar technique to make the one in question, only adding the chocolate and nuts. Would be shaped differently, of course, but I bet they have a cutter or mold that makes theirs MM in the shape in question. You might be able to microwave the MM a little to soften then pop into a greased ramekin or something to shape it. ?
Would be fun playing with this and will, when I get done with my candy making this week, IF I ever want to look at another pan of candy! ha