In a mixing bowl, beat the cream cheese, powdered sugar, and vanilla extract until smooth.

Transfer the mixture to a small piping bag or a plastic zip-top bag and refrigerate for about 15 minutes to firm up.

In a medium bowl, whisk together the flour, baking powder, and salt. Set aside.

In a large bowl, cream the butter and sugar until light and fluffy.

Add the egg and vanilla extract, mixing until fully incorporated.

Gradually add the dry ingredients to the wet ingredients, alternating with the milk, until a soft dough forms.

Preheat the oven to 350°F (175°C) and line a baking sheet with parchment paper.

Scoop about a tablespoon of dough and flatten it into a small circle.

Pipe a small dollop of the chilled cheesecake filling in the center.

Cover with another piece of dough and seal the edges to ensure the filling stays inside.

Place the assembled cookies on the prepared baking sheet.

Bake for 10-12 minutes or until the cookies are lightly golden brown.

Remove from the oven and let them cool slightly before coating.

In a small bowl, mix the granulated sugar and cinnamon.

Brush each cookie with melted butter, then roll it in the cinnamon sugar mixture until fully coated.

Let the cookies cool completely before serving.