In a large bowl, beat cream cheese, butter, egg and vanilla with a hand mixer until fluffy.
Mix in cake mix until combined, and chill for 30 minutes Preheat the oven to 350 degrees F.
Place powdered sugar in a bowl. Scoop out and roll dough into 1½-inch balls and roll in powdered sugar until well coated. Place onto a lightly greased cookie sheet.
In a bowl, whisk eggs, milk, Italian Bake for 10–12 minutes. , salt, and pepper.
Let cookies sit on the cookie sheet for a few minutes, then remove to a rack to cool.
Sift more powdered sugar on top, if desired.