Preheat the oven to 350°F (175°C). Grease a baking sheet with butter or oil.
In a medium bowl, sift together the flour, baking powder, salt, and cocoa powder. Add the melted butter, milk, sugar, and vanilla extract, and stir until the mixture is combined and a thick batter forms.
Using a spoon, drop tablespoon-sized mounds of batter onto the prepared baking sheet. Bake for 15 minutes, or until the cigars are golden brown and crisp.
In the meantime, in a medium bowl, whisk together the heavy cream, coffee-flavored liqueur, and ground cinnamon until thickened. Refrigerate until ready to serve.
Once the cigars have cooled, spoon the coffee cream into the center of each cigar. Serve immediately.
Interesting Facts
Mocha cigars are a traditional dessert in many European countries.
The use of coffee-flavored liqueur, such as Kahlua or Tia Maria, adds an extra layer of flavor to the coffee cream.
Cocoa powder can be substituted with melted dark chocolate for a richer flavor.