The cookies are basically three parts. The base, the outer shell, and the filling.
The base is simply a vanilla wafer cookie, something like a Nilla wafer.
The outer shell is a mixture of butter, icing sugar, ground walnuts, ground Nilla wafers, cocoa powder, and a splash of rum. Mixed to the consistency of play-doh.
The filling is butter, icing sugar, rum, egg yolk, a splash egg-nog, and another splash of rum. I wasn't really comfortable with uncooked egg so I subbed the egg yolk and egg-nog with some custard powder and ground nutmeg.
I used a beehive mould (I found one on Amazon) to make the shape, but apparently you can do it with a knife and some patience. There's a few youtube videos if you search it up by it's Czech name (Vosi Hnizda). Basically you press the outer dough into the mould and use the "corer" to make a space on the inside. From there you can fill it and place a Nilla wafer on the bottom. Then simply open the mould and you're done! I'm not Czech so I don't know how close to the real traditional cookie I got, but it's fairly easy to google a variety of recipes. I hope that helps satisfy some of your curiosity! I certainly had never seen them before my coworker.