1Heat oven to 425°F. Grease cookie sheet with shortening. In small bowl, beat all cream cheese filling ingredients with electric mixer on medium speed until smooth; set aside.
2In medium bowl, cut 3 oz cream cheese and the butter into Bisquick mix, using pastry blender (or pulling 2 table knives through ingredients in opposite directions), until particles are the size of small peas. Stir in milk. Place dough on surface sprinkled with Bisquick mix; roll in Bisquick mix to coat. Shape into ball; knead 8 to 10 times.
3Roll or pat dough into 12x8-inch rectangle. Place on cookie sheet. Spread cream cheese filling down center of rectangle. Make cuts, 2 1/2 inches long, at 1-inch intervals on 12-inch sides of rectangle. Fold strips over filling, overlapping strips. Mix 2 tablespoons sugar and the cinnamon; sprinkle over top.
4Bake 12 to 15 minutes or until golden; cool 10 minutes. Carefully place on serving platter. Spoon pie filling down center of coffee cake. Sprinkle with walnuts. Serve warm or cool. Store covered in refrigerator.