Cream cheese, sugar, and vanilla in a small bowl. Mix on medium-high speed with an electric mixer until frothy and the sugar dissolves, about 2 minutes.
Fold in the Oreo crumbs using a rubber spatula. Place 16 2-tablespoon scoops of cheesecake filling on a parchment-lined baking sheet. Freeze cheesecake balls until solid.
Whisk flour, cocoa powder, baking powder, and salt in a medium basin. Set aside the flour mixture.
Cream the softened butter, brown sugar, and granulated white sugar in a large bowl with an electric hand mixer on high speed until frothy, about 2 minutes.
Mix egg yolks and vanilla for one minute on medium speed until pale and frothy. then, Low-speed mix the dry ingredients.
Roll 16 dough balls using a 2 tablespoon cookie scoop. Place a frozen cheesecake ball in each.
Wrap the cheesecake ball with cookie dough and roll again. Cookie dough should cover the cheesecake. Sugar-roll cookie dough balls.
Place cookie dough on a parchment-lined baking pan. Bake 6 cookies. After 10 minutes, transfer cookies to a wire rack to cool. Now serve!