To make the dough, combine the cream cheese, butter, and confectioners’ sugar in the bowl of a food processor*. Pulse to blend. Add in the almond and vanilla extracts and lemon zest, and pulse until incorporated. Add in the flour and pulse until the dough comes together in a soft ball. Wrap in plastic wrap and refrigerate until well chilled and firm, at least 2 hours.
When you are ready to make the cookies, preheat the oven to 350˚ F. Line baking sheets with silicone baking mats or parchment paper. Working with half of the dough at a time, transfer to a lightly floured work surface and flatten into a disc. Use a rolling pin to roll the dough out into a thin round about 12-13 inches in diameter. Spread half of the raspberry jam in an even layer over the disc of dough.
Use a pastry cutter or pizza cutter to slice the dough in half and in half again and again until you have 16 equal triangles. Sprinkle half of the chopped chocolate over the jam, and sprinkle the chopped nuts on top of that.
Working with one triangle at a time, roll up each piece of dough into a spiral form, starting from the wide end so that the tip is on the outside.
Place the shaped cookies on the prepared baking sheets, seam side down. Repeat this process with the remaining disc of dough and the remaining fillings.
Once all the cookies are assembled and on the baking sheets, lightly brush the cookies with a bit of heavy cream. Combine the sugar and cinnamon in a small bowl and whisk together to blend. Sprinkle the cinnamon-sugar mixture lightly over the cookies. Bake until golden, about 22-24 minutes. Let cool on the baking sheets for a few minutes, then transfer to a wire rack and let cool completely.
*If you don’t have a food processor, this dough can also be made with an electric mixer.