In a medium saucepan, bring the water, butter, and salt to a boil over medium heat. Once boiling, remove from heat and stir in the flour until fully combined.

Return the saucepan to the heat, cooking for an additional 1-2 minutes while stirring constantly until the dough is smooth and pulls away from the sides of the pan.

Remove the saucepan from heat and let the dough cool for a few moments. Gradually stir in the eggs one at a time, ensuring each is fully incorporated before adding the next. Finally, mix in the vanilla extract.

In a deep fryer or large pot, heat vegetable oil over medium heat to 350°F (175°C).

While the oil heats, beat together the softened cream cheese, sugar, and some vanilla extract in a bowl until the mixture is smooth and fluffy. Set aside.

Once the dough has cooled a bit, use a piping bag to pipe the churro dough into circular rings about 3-4 inches in diameter into the hot oil. Fry the rings for about 2-3 minutes per side until they are golden brown and crispy. Remove them from the oil and drain on paper towels.

While the churro rings are cooling, mix the granulated sugar and cinnamon in a bowl to create the coating.

Roll the slightly cooled churro rings in the cinnamon-sugar mixture ensuring they are coated evenly.

Pipe the cheesecake filling into the center of each churro ring. Drizzle generously with caramel sauce and prepare to serve!