Start by mixing together the cold cream cheese, granulated white sugar, and vanilla in a bowl. Beat until smooth and creamy.

In another bowl, combine the granulated white sugar and black cocoa powder; then add the all-purpose flour, remaining black cocoa powder, baking powder, and salt. Whisk together until well combined.

In a large mixing bowl, cream together softened unsalted butter, light brown sugar, and granulated white sugar until light and fluffy.

Add in two egg yolks and vanilla into the creamed mixture and mix until combined. Gradually add the dry ingredient mixture to this wet mixture until just combined.

Preheat your oven to 350°F (175°C). Take about one tablespoon of cookie dough and flatten it slightly in your palm. Place about one teaspoon of cheesecake filling in the center before folding the dough over it to enclose it completely.

Place your cookie balls on a baking sheet lined with parchment paper about two inches apart. Bake for about 10–12 minutes or until set around the edges but still soft in the center.