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Preheat oven to 350°F and line a large baking sheet with parchment paper.
Make the filling by mashing cream cheese and sugar in a bowl, then adding salt, vanilla, lemon juice, and egg yolk until smooth. Refrigerate until needed.
For the dough, combine sugars, salt, and 2 cups of flour in a food processor. Add butter and mix until it disappears, then add egg and vanilla and blend until smooth.
Scoop half the dough into a separate bowl. Add remaining ⅓ cup flour to one half and ⅓ cup cocoa powder to the other half, mixing until blended.
Spoon dollops of chocolate and vanilla doughs onto parchment paper and marble them together.
Roll the dough out to ⅛-inch thick and cut into 3-inch rounds.
Place 1 teaspoon of cream cheese filling in the center of each round, fold edges up in 3 sections, and pinch corners closed.
Transfer to the baking sheet and bake for 20 to 25 minutes until golden brown.
Cool on a rack and store in the fridge for up to one week.