I'm not to sure I would worry much about the fats... a lot of commercial styles add in cakes and cookies without much through to it, why not do the same here? Get a base recipe together and chuck all the cookies in the mash. I don't think you will get much flavor out of them, but I suppose you could try to do a flame out/whirlpool addition as well... If you want a real stollen flavor, I would focus on adding spices in addition to the cookies. It would be easy enough to get the lemon and orange peel flavors (late boil/flame out addition like in a witbier). Get a real solid malt bill together, maybe some Munich and crystal malts. I would agree that a stout might not be the best. Something like an Imperial Red, or maybe even a Bock or Doppelbock?
I have tried adding marzipan to a stout before in secondary. Gives off a lot of cherry flavor. I will need to try that again....