In a mixing bowl, beat cream cheese until light and fluffy. Beat in sugar and salt until smooth. Mix in egg yolk, sour cream and vanilla – cover and place into the refrigerator for 30 minutes.
Preheat oven to 350 degrees.
To prepare the cookie dough
In a large mixing bowl, beat together butter, sugar and salt until creamy and combined.
Mix in egg yolk until incorporated. Gradually add flour and mix just until combined.Scoop out level tablespoons worth of the dough and roll into balls.
Place balls onto parchment-lined baking sheets. Using the handle end of a thick wooden spoon, lightly dipped in flour, make an indentation in the center of each ball.
Place into the oven and bake for 10 minutes. Remove from the oven and carefully use your thumb (or the end of the same wooden spoon) to press the middle of the cookies back down, remaking the indentations.
Place cookies back into the oven, rotating them from their original position, and continue to bake until slightly golden around the edges, about 7 minutes.Remove cookies from the oven and fill the indentations with the cheesecake filling using a teaspoon. Place back into the oven and bake for 7 more minutes.
Remove from the oven and transfer cookies to a wire rack to cook completely. When cool, place cookies into the refrigerator to chill before serving.Makes about 30 cookies.