Wash and chop the rhubarb into small pieces. In a saucepan, combine the rhubarb with water and lemon juice. Cook on medium heat for about 10 minutes, until it softens. Remove from heat and let it cool.

In a mixing bowl, cream together the unsalted butter and granulated sugar until light and fluffy. Add the eggs, one at a time, mixing well after each addition. Stir in vanilla extract.

In another bowl, whisk together the all-purpose flour, baking powder, and lemon zest. Gradually add this dry mixture to the wet ingredients, alternating with the whole milk, until well combined.

In a separate bowl, beat the cream cheese and powdered sugar until smooth. Fold in the cooled rhubarb mixture gently.

Preheat your air fryer or oven to 350°F (175°C). Take a teaspoon of dough and flatten it in your hand. Place a spoonful of the cheesecake filling in the center and wrap the dough around it to form a ball. Repeat this process until all the dough and filling are used.

If using an oven, place the bombs on a lined baking sheet and bake for 15-18 minutes, or until golden brown. If using an air fryer, cook them in batches at 350°F for about 10 minutes until golden and cooked through.

Allow the bombs to cool slightly and then dust with powdered sugar before serving.