Well, alcohol containing sweets are common enough commercially, and it really doesn't seem like too much of a trick. Your alcohol filling will have to be diluted, say to no more than 30%, which is what we here in the US call 60 proof. This is pretty much the highest content you'll find in whiskey, as an example. You'll also want the candy shell to be denser, so experiment with how much sugar, how long you cook it (which causes the candy base to lose water,) and how thick you want it to be. If you're using chocolate, you can try to see how much cocoa butter you want, to help the shell resist the alcohol better.