In a medium bowl, cream butter, cream cheese, egg yolk, vanilla, 1 teaspoon lemon zest, and salt until fluffy.
Gradually mix in powdered sugar and flour to make stiff dough.
Cover bowl with plastic wrap and place in the fridge to chill for about 2 hours.
Remove from fridge and preheat oven to 325 ℉.
Shape dough into small one inch balls.
Beat egg white until foamy.
Dip balls in egg white then roll in graham cracker crumbs. Arrange cookie dough balls about 2 inches apart on ungreased cookie sheet and make a depression in the middle of each cookie with your thumb.
Bake for 12-15 minutes, or until cookies begin to brown on the bottoms.
Remove cookies from baking sheet and let cool.
Fill depression with a teaspoon of pie filling (or as much as you can fit on each cookie).
Notes
You can substitute other flavors of pie filling if you don't like cherry. Blueberry, strawberry, and blackberry would all be delicious options.