Heat oven to 350 degrees. Line two cookie sheets with parchment paper or spray with cooking spray.
In a mixing bowl, combine cake mix, pumpkin, and oil. Stir together until completely mixed and combined.
Use a small cookie scoop, or drop dough with a spoon, onto the cookie sheet. It will end up being about 2 tablespoons of dough. The cookies won't spread much while baking so you can fit 15 per cookie sheet.
Cook for 14 minutes. Let cool completely.
To make the cheesecake whipped cream: add the cheesecake pudding mix (dry, do not prepare) and the heavy whipping cream into a bowl. Use a hand held blender, or bowl of a stand mixer, and whip until stiff peaks form. This takes about 3-4 minutes.
Either spread the cheesecake whipped cream between two cookies or put some into a large bag (like a Ziploc) and cut the corner and pipe onto one cookie and then press the other on top.
Serve immediately or for best taste put in the fridge for about 2 hours before serving. Leftovers need to be stored in the fridge.