For the dough: In a food processor cream together the cream cheese, confectioners' sugar and butter. Add the lemon juice, vanilla and zest and pulse again to combine.
Add the flour and pulse the dough until it comes together in a soft ball. Divide the ball in two discs and refrigerate until firm, for about 1 hour or overnight. Dough can be frozen for about 3 weeks.
For assembling: Preheat the oven to 350 degrees F. On a well-floured surface, roll the dough to about a 1/8-inch-thick round.
Cover with about 1/4 cup of the preserves. Use a pastry wheel or knife to cut the dough into 16 equal wedges (like cutting a pie. Cut the dough into quarters, cut those in half, and then half those pieces).
Sprinkle on half the nuts and/or chocolate, and then half the cinnamon sugar.
Roll each piece of dough up, starting at the wide end, until the pointy end is tucked under the cookie. Repeat with the rest of the pieces, working quickly so the dough doesn't get too sticky.
Place them on a baking sheet lined with a lightly-greased piece of parchment and chill until set, about 30 minutes.
Brush the tops with a small amount of heavy cream.
Sprinkle with sugar.
Bake until they are golden brown, 30 to 35 minutes.
Remove from the sheet while they are still warm or they will stick to the parchment. Allow them to cool on a wire rack.