Preheat the oven to 375°F (190°C).
In a medium bowl, whisk together flour, baking powder, and salt.
In a saucepan, melt the butter over medium heat.
Add sugar, and stir until combined, then remove from heat.
Let the mixture cool slightly, then whisk in the egg and vanilla extract.
Pour the wet ingredients into the dry ingredients, stirring gently until just combined.
Scoop out small portions of the dough and place them on a baking sheet lined with parchment paper.
Bake for 10-12 minutes or until lightly golden.
While baking, prepare the cheesecake filling by beating cream cheese and powdered sugar until smooth.
Add the egg yolk and mix until fully combined.
Transfer the filling mixture into a piping bag.
Once the churro bites are baked and cooled, pipe the filling into the center of each.
In a small bowl, mix granulated sugar with cinnamon for coating.
Roll each filled churro bite in the cinnamon-sugar mixture.
Serve your Mini Churro Cheesecake Bites at room temperature or chilled.