Adjust the oven rack to the middle position, pre-heat the oven to 350ºF (180ºC) and line two large baking sheets with parchment/baking paper.

Add the sugar and lemon zest to a large bowl and rub the zest into the sugar.

Add the softened butter and vanilla, and cream together until pale and fluffy.

Add the egg yolks and mix well to combine.

In a separate bowl, whisk together the gluten free flour blend, baking powder, xanthan gum and salt, and add them to the wet ingredients.

Mix well until you get a smooth cookie dough with no flour clumps.

Transfer ⅓ of the cookie dough into a separate bowl and spread it out.

Dollop over ⅓ of the blueberry jam and swirl it around.

Cover with the next ⅓ of the cookie dough and repeat the process with the remaining jam and dough.

Gently fold the cookie dough over itself 2-3 times for even marbling.

In a bowl, mix the cream cheese and sugar until smooth.

Add the warm cream and vanilla, and fold together into a loose mixture.

Put granulated sugar into a small bowl.

Scoop out a portion of the cookie dough, roll it in sugar, and shape it into a ball.

Place the ball on the baking sheet and make an indent in the center.

Fill the indent with cheesecake filling.

Bake at 350ºF (180ºC) for about 10-12 minutes until puffed and set.

Allow cookies to cool completely on the baking sheet.

Prepare the blueberry sauce by cooking blueberries, sugar, and lemon juice until juices are released.

Mix cornstarch and water, add to blueberry mixture, and cook until thickened.

Cool the sauce and top each cookie with a spoonful before serving.