Preheat your oven to 350°F (175°C) and line a baking sheet with parchment paper.
In a medium bowl, whisk together the flour, pumpkin spice, and salt.
In another bowl, beat together the room-temperature cream cheese and unsalted butter until smooth. Then add both granulated sugar and brown sugar, mixing until fluffy.
Add the egg yolk and vanilla extract to your butter mixture. Beat until fully combined.
Gradually mix in your dry ingredients until just combined.
For the filling, whisk together an egg, brown sugar, pinch of salt, pumpkin spice, milk, pumpkin puree, and vanilla extract until smooth.
Scoop cookie dough onto the baking sheet and make an indent in each scoop. Fill it with the pumpkin filling mixture.
Roll each filled cookie ball in coarse sugar before baking.
Bake for about 15 minutes or until golden around the edges.