Prepare the cheesecake filling: In a bowl beat the cold cream cheese, sugar and vanilla until smooth. Portion into about 18 discs (≈2 tsp each) on a cookie sheet and freeze until solid.

Make the blueberry jam: Combine blueberries and sugar in a saucepan over medium heat. Cook, stirring and slightly smashing halfway, until thick and reduced to approx. ½ cup. Chill while prepping dough.

Pre-heat oven to 175 °C (≈350 °F). In one bowl whisk flour, baking powder, baking soda and salt. In another bowl rub lemon zest into sugar to release the oils; then cream butter with that lemon-sugar, then add egg and vanilla and beat until light and fluffy. Add dry mixture and mix just until combined.

Fold the jam into the dough so that there are pockets of jam throughout (not fully mixed in). Then scoop 2 Tbsp portions of dough, flatten slightly, place one frozen cheesecake disc in the center, and wrap the dough around to fully encase it. Roll in the ¼ cup sugar.

Place dough balls on prepared baking sheets and bake for about 11-12 minutes until set but still soft. Let cool on the baking sheet for about 10 minutes before transferring to a wire rack to cool completely.