To make the sauce, heat the milk in a microwave-safe bowl for 30 seconds to warm. Whisk in 2 tablespoons of Nutella until smooth and saucy. Set aside.
Fill a blender with ice cream, ice, Nutella, vodka, coffee liqueur, and Irish cream liqueur. Working quickly, cover the blender and blend until smooth. Mixture should be the consistency of a milkshake.
Using a squeeze bottle or a thin spoon, drizzle the Nutella sauce around the inside of a Sundae glass. Pour the blended mudslide into the glass. Top with whipped cream, dusting lightly with cocoa powder. Garnish with a Pirouette cookie.