Heat the oven to 350°F and position a rack in the middle.
Prepare a 10-inch springform cake pan and brush the sides and bottom with the olive oil. Place the pan on the center of a large sheetpan.
Make the nut mixture: In a small bowl, mix together the nuts, sugar, and cinnamon. Set aside for now.
Assemble the phyllo crust: Lay two sheets of phyllo in the oiled springform pan and press gently onto the bottom and sides. Brush the phyllo with extra virgin olive oil, including any parts hanging over the pan. Lay another 3 sheets of phyllo on top so they overlap, rotating the pan so that the phyllo will cover it on all sides (there should be phyllo slack hanging over on all sides of the pan). Brush with olive oil, then sprinkle the nut mixture over the phyllo to cover the bottom of the pan. Place the remaining phyllo sheets over the nut mixture, following the same pattern and making sure to brush each sheet of phyllo with extra virgin olive oil. (If the overlay of phyllo dough is too long, you can fold it over or cut it with a pair of kitchen scissors).
Prepare the cheesecake batter: In the bowl of a standing mixer fitted with a paddle attachment, add the cheese, eggs, sugar, vanilla extract, and half the orange zest. Start the mixer on low for 1 to 2 minutes then increase the speed to medium-low (2 on the KitchenAid mixer) for 10 minutes. The mixture will look light and fluffy. If using a hand-mixer, keep the speed low. If using a wooden spoon, mix continuously until fluffy.
Assemble and bake the baklava cheesecake: Pour the batter into the prepared pan with the phyllo.
Bake: Place the cheesecake in a preheated oven for one to 1 ½ hours or until the batter has mostly firmed up and the top of the cake and phyllo crust has gained a nice golden brown color. The batter may still jiggle slightly in the middle, but it will firm up once cooled. (Do keep an eye on the phyllo crust, and if it is turning too brown too quickly, you may need to adjust the heat down to 325°F).
Cool: Remove from the oven and place on a wire rack to cool for 1 to 2 hours. Transfer to the fridge for at least 6 hours or up to overnight.
Release from the pan: Break off any extra phyllo crust hanging over the sides that could make it difficult to release the cake. (You can crumble the crust and add it on top to garnish). Release the lever on the side of the pan, remove the cake and transfer to a platter.
Garnish and serve: Add chopped nuts and remaining orange zest to the top of the cake for garnish. Warm the honey and drizzle it all over the crust and top of the cake.
The crust takes a few sheets of phyllo dough, but don’t worry, you can absolutely use the rest to make my favorite Sigara Boregi (Turkish feta cheese rolls) or my Italian Style Breakfast Strata.
This is a great dessert to make one night ahead so that you can allow the cheesecake to fully set and harden in the fridge.