Stir together 3 Tbsp. shortening and powdered sugar in a small bowl; knead until combined. Add sprinkles; knead just until combined. Shape into 6 balls. Freeze frosting balls until ready to assemble cookies.

For cookies, whisk together flour, baking powder and salt in a medium bowl; set aside.

Beat remaining ½ cup shortening in a large mixing bowl with an electric mixer on medium for 30 seconds. Beat in sugar and vanilla. Beat in eggs until combined. Stir in flour mixture until combined.

Divide dough evenly into 3 medium bowls. Add 12 drops pink food color to one bowl. Add 12 drops blue food color to another bowl. Add 12 drops pink and 4 drops blue food color to the third bowl. Using a spoon, stir each dough mixture until evenly colored.

Line a large cookie sheet with parchment paper. Pinch off about 1 Tbsp. of each color of dough; press together and roll into a ball. Flatten ball into a 3-in.-round disk on the prepared cookie sheet. Repeat with remaining doughs to make 11 more dough disks. Cover and refrigerate for 1 hour.

Place oven rack in center of oven. Preheat oven to 350°. To assemble cookies, top each of 6 cookie dough disks with 1 frosting ball. Then top with remaining 6 cookie dough disks. Press edges together to seal in frosting ball; smooth any cracks in the dough.

Place sanding sugar in a small bowl. Gently coat filled cookie with sanding sugar; place 2 in. apart on the prepared cookie sheet.

Bake for 18 to 20 minutes or until tops are firm to the touch. Cool on the cookie sheet for 5 minutes. Transfer cookies to a wire rack and cool completely. Store in an airtight container in the refrigerator up to 5 days. To soften centers of chilled cookies, microwave each cookie on HIGH for 15 to 20 seconds just before serving.