Preheat oven to 350 degrees F. Line a large baking sheet with parchment paper.
In a large bowl with an electric mixer, beat cream cheese until fluffy. Add melted butter, egg, and vanilla. Beat until thoroughly combined. Gradually add cake mix, mixing until well combined.
Refrigerate dough for at least 1 hour then roll dough into 1-inch balls.
For Pecan Coating:
Lightly beat egg white in a small bowl. One at a time, dip dough balls in egg white then roll in chopped pecans. Place balls on prepared baking sheet, about 1 inch apart. Using your thumb, press in the center of each dough ball, making an indentation.
Bake for 8-10 minutes. If the indentation has disappeared during baking, use a small measuring spoon to recreate the indentation.
For Caramel Filling:
In a small saucepan over medium-low heat, place unwrapped caramels and heavy cream. Stir until smooth. Spoon caramel mixture into each cookie’s center indentation*, taking care not to over-fill the cookies. Remove to a wire rack to cool completely.