Combine the flour, sugar, lemon zest, and vanilla in a medium bowl.
Make a well in the center and add the egg yolk and butter. Mix until the dough pulls away and cleans the sides of the bowl.
Remove the dough from the bowl, form it into a ball, and wrap it in waxed paper. Refrigerate for 1 hour.
Preheat the oven to 400°F and grease the bottom and sides of a 9-inch springform pan. Remove the sides of the pan and set aside.
Roll 1/3 of the dough to fit the bottom of the springform pan.
Place it in the oven and bake until golden, about 8 to 10 minutes. Remove and set aside.
Divide the remaining dough into 3 parts and roll each part into a strip, 2 1/2 inches wide and 10 inches long.
Put the springform pan back together, leaving the baked crust in the pan.
Fit the dough strips to the sides of the pan, joining the ends to line the pan completely. Trim the dough so it comes only 3/4 inches up the side of the pan. Refrigerate while making the filling.
Cheesecake Filling
Combine the cream cheese, sugar, flour, lemon zest, orange zest, and vanilla in the large work bowl of an electric mixer. Beat at high speed until just blended.
Reduce to medium speed, and add the eggs and yolks one at a time.
Add the cream and beat until just combined.
Transfer the mixture to the springform pan.
Bake at 400°F for 10 minutes.
Reduce the heat to 350°F and bake for 75 and 90 more minutes.
Remove the cheesecake from the oven and let it cool completely on a wire rack.
Refrigerate for at least 3 hours or ideally overnight before serving.