In a medium bowl, beat the cream cheese, sugar, and vanilla extract until smooth and creamy.
Scoop teaspoon-sized portions onto a parchment-lined baking sheet. Freeze for at least 30 minutes or until firm.
Preheat your oven to 350°F (175°C) and line two baking sheets with parchment paper.
In a large bowl, cream together the butter, granulated sugar, and brown sugar until light and fluffy.
Beat in the eggs one at a time, followed by the vanilla extract, lemon zest, and lemon juice.
In a separate bowl, whisk together the flour, baking soda, and salt. Gradually add to the wet ingredients and mix until just combined.
Fold in the shredded coconut.
Scoop 2-tablespoon portions of cookie dough and flatten into disks. Place a frozen cheesecake ball in the center, wrap the dough around, and seal the edges completely. Roll into a smooth ball.
Place the balls on the prepared baking sheets, about 2 inches apart.
Bake for 12–14 minutes until the edges are lightly golden and the tops are just set.
Cool on the baking sheet for 5 minutes, then transfer to a wire rack to cool completely.
Serve at room temperature or slightly chilled.