Preheat oven to 350°. Lightly spray 8 x 8 inch square pan with cooking spray.
Make the Cheesecake Layer: In a medium bowl and using an electric mixer at medium speed, beat the cream cheese until smooth and creamy, about 1 minute. Beat in the sugar and the vanilla until very smooth, 1 to 2 minutes. Beat in the egg until well blended. Set aside.
For the Brownies: In a small bowl combine flour, salt, baking powder, and cocoa. Mix and set aside.
In a large bowl, whisk oil and eggs together until combined. Add vanilla and sugar. Slowly mix in flour mixture and water. Once all flour is combined, reserve 1/2 cup of brownie batter and spread the rest spread evenly into the prepared pan.
Pour the cheesecake batter over the top of the brownie batter and smooth. Drop the reserved brownie batter in large dollops over the topping. Draw the handle of a wooden spoon through the two batters to create a swirled effect. Top with chopped candy and nuts, and gently push down to slightly sink topping into batter.
Bake on center rack for 40-45 minutes or until toothpick comes out with just a few crumbs.
Cool completely and serve.