Preheat oven to 375°F (190°C). Toss rhubarb with water, 1/3 cup granulated sugar, lemon juice, and lemon zest in a shallow baking dish. Roast for 20–25 minutes, until tender and jammy.

Alternatively, combine rhubarb, water, and additional sugar in a saucepan over medium heat. Simmer for 8–12 minutes until rhubarb breaks down slightly. Stir in lemon juice and zest, then cool.

In a medium bowl, beat together cream cheese and powdered sugar until smooth. Add 1 egg, vanilla extract, and lemon juice; mix until combined.

Fold a tablespoon of cooled rhubarb compote into the filling, or keep it separate.

In a large bowl, whisk flour, baking powder, and salt. Cut in butter until crumbly. Mix in remaining sugar, egg, and milk to form a soft dough.

Turn onto a floured surface and knead gently, then roll to about 1/4–1/2 inch thickness.

Preheat oven to 350°F (175°C). Portion dough into rounds, flatten in palm, and fill with cheesecake and rhubarb compote, then seal and roll into balls.

Place on a baking tray, seam side down, and brush with milk or beaten egg.

Bake for 12–18 minutes until golden brown. Cool slightly and dust with powdered sugar.