In a medium bowl, beat together cream cheese, granulated sugar, and vanilla extract until smooth and fluffy, about 3-4 minutes. Scoop the mixture into small dollops and freeze for at least 1 hour.

In a small saucepan over medium heat, combine fresh blueberries and granulated sugar. Mash the blueberries and cook for about 5-7 minutes until thickened. Cool completely in the fridge.

Preheat oven to 350°F (175°C) and line baking sheets with parchment paper. Whisk together flour, baking powder, baking soda, and salt in a large bowl.

In another bowl, cream together softened butter, lemon zest, and granulated sugar until light and fluffy, about 2-3 minutes. Add the egg and vanilla extract, mixing well.

Gradually add the dry ingredient mix to the wet mixture, folding gently until just combined.

Divide the dough in half. Fold the cooled blueberry jam into one half of the dough, keeping some visible swirls.

Scoop about 2 tablespoons of cookie dough, flatten slightly, place a frozen cheesecake filling dollop in the center, and wrap the dough around it.

Roll in granulated sugar before placing on baking sheets. Bake for about 11-12 minutes, until edges are set.

Allow cookies to cool on the baking sheet for a few minutes before transferring to a wire rack.