In a mixing bowl, add softened cream cheese, granulated sugar, ground cinnamon, kosher salt, and pure vanilla extract. Blend until smooth and creamy, about 2-3 minutes.

Lay an egg roll wrapper on a clean surface, with one corner pointing towards you. Place a generous spoonful of the cream cheese filling in the center. Fold the bottom corner over the filling, then wrap tightly, tucking in the sides to seal.

In a deep frying pan, pour enough vegetable oil to cover the bottom by about 1-2 inches and heat over medium heat until it reaches about 350°F (180°C).

Carefully place two to three filled egg rolls in the hot oil and fry for 2-3 minutes on each side until golden brown. Transfer to a paper towel-lined plate.

Prepare a sugar-coating mixture by combining granulated sugar and ground cinnamon. Roll the warm egg rolls in this mixture to coat thoroughly.

In a small saucepan over medium heat, combine heavy cream and chocolate chips. Stir until melted and smooth, about 3-5 minutes. Add cayenne pepper if desired.

Serve the warm Churro Cheesecake Egg Rolls on a platter alongside the chocolate sauce for dipping.