Preheat oven to 350 degrees F.

In a large bowl, mix together cream cheese, butter, and coconut oil until well blended. I like to use a wooden spoon. Mix in the flour 1 cup at a time, then the powdered sugar. As the dough becomes stiff, turn it out onto the counter and knead in more powdered sugar or flour until it's no longer sticky. Continue to knead the dough for 5 more minutes, then place dough in fridge while preparing the filling.

To make the filling, mix cream cheese, egg yolk, sugar, and vanilla in a small bowl until blended.

On a well floured surface, roll the dough out to 1/4 inch thickness. Cut the dough into 3x3 inch squares (you can make the squares smaller or bigger depending on your preference). Place a teaspoon of filling in the center of each square. Roll the squares up and seal the edges. These can also be formed into triangles. Place the cookies 2 inches apart onto ungreased cookie sheets. Brush with egg white.

Bake for 15 to 17 minutes in the preheated oven, or until lightly browned. When cool, dust with confectioners' sugar and serve.