In a mixing bowl, beat together peanut butter and butter until creamy. Gradually add confectioners' sugar and vanilla, mix until a stiff dough forms.

Roll a scant teaspoon of peanut butter dough into a ball, place it on a pretzel, top with another pretzel, and press down gently.

Transfer the pretzel sandwiches to a tray lined with parchment and refrigerate for 20–30 minutes until the filling firms up.

In a microwave-safe bowl, combine chocolate chips and shortening. Microwave in intervals until melted and smooth.

Dip each pretzel sandwich halfway into the melted chocolate, allowing excess to drip back. Place on wax paper-lined pan.

Allow chocolate-coated pretzels to sit at room temperature for 30–60 minutes until hardened, or refrigerate for quicker results.