In a large bowl whisk together the flour, baking powder, salt, cinnamon, nut meg and ginger. Set aside.
Using a handheld or stand mixer, in a large mixing bowl beat together the butter and sugar until fluffy. Beat in egg and the vanilla, scraping down the sides and the bottom of the bowl as needed. Add in the flour mixture and on low speed, mix until it is combined. Do not over mix!
Prepare two baking pans with parchment paper. Roll dough into round balls and space about 1-inch apart. Using your thumb, gently press an indent into the cookies. The dough may crack slightly when you do this; if so, try to smooth it out with your fingers if possible - if you can't that's ok!
Place baking trays in the fridge and chill dough for at least 30 minutes, or up to an hour.
While dough is chilling, preheat oven to 350°F.
Also while the dough is chilling, prepare the cheesecake filling. In a large mixing bowl, using a handheld or stand mixer, beat the softened cream cheese until smooth. Add in sugar, continuing to beat, then the eggnog, egg yolk, cinnamon and nutmeg until well combined.
Once the cookie dough is finished chilling, dollop small spoonfuls of the cheesecake filling into the indents.
Bake cookies for 10-11 minutes, until bottoms are lightly browned and cheesecake is just barely set. Dust with more cinnamon if desired. Allow to cool completely before serving. If not serving immediately, store cookies in fridge, removing 15 minutes prior to serving.