Rub the granulated sugar, brown sugar, and lemon zest together with your fingertips until fragrant.
Beat the softened butter until smooth. Add the lemon sugar mixture and mix until creamy.
Add the egg, vanilla extract, and lemon juice. Mix until well combined.
In a separate bowl, combine the flour, salt, baking powder, and baking soda. Gradually add the dry ingredients to the butter mixture and mix until a soft dough forms.
Cover the dough and refrigerate for 1–2 hours.
Prepare the cheesecake filling by mixing the mascarpone cheese, cream cheese, powdered sugar, heavy cream, vanilla extract, and lemon juice until smooth and creamy. Add the lemon zest and mix well.
Shape the dough into cookies and place them on a lined baking tray. Press gently to create an even shape.
Bake in a preheated oven at 180°C (356°F) for 12–14 minutes until the edges are lightly golden.
Immediately after baking, press the center of each cookie with the bottom of a small glass to create a well.
Cool completely, fill with the cheesecake mixture, and refrigerate for at least 2 hours before serving