Combine the Greek yogurt, honey, and vanilla in a bowl. Transfer to a freezer-safe container and freeze for 2 hours, or until consistency is thick and creamy but still scoopable.
Add the rolled oats to a bowl of a food processor and pulse until it becomes a flour-like consistency.
Combine coconut oil, honey, vanilla, and egg in a large bowl. Add in oats, baking soda, and a pinch of salt and mix until thoroughly incorporated. Fold in chocolate chips.
Using an ice cream scoop or a tablespoon, form 8 balls of cookie dough and place onto a baking sheet lined with parchment paper.
Using your hands or the back of a spoon, press down firmly on each ball to form a cookie shape. Bake for 8-10 minutes, or until golden brown on the edges.
Let cool for about 10 minutes. While the cookies are cooling, you may want to remove ice cream from the freezer and let sit out to soften.
Flip cookies over so the flat sides are facing up. Add one scoop of frozen yogurt to 4 of the cookies. Use the remaining 4 cookies to form sandwiches by placing on top of the ice cream scoop and pressing down very gently to slowly spread out the ice cream. Feel free to use a spoon to smooth out the ice cream instead.