Make the cookies: Preheat oven to 350 degrees. Whisk together hazelnuts, flour, cornstarch, and salt.
With an electric mixer on medium speed, beat butter, confectioners' sugar, lemon zest, and lemon juice until creamy. Add hazelnut mixture, and beat until just combined. Wrap dough in plastic, and refrigerate until firm, about 1 hour.
On a lightly floured piece of parchment paper, roll out dough to a generous 1/4 inch thick. Place dough on parchment on a baking sheet, and chill in freezer until firm, about 20 minutes. Cut out twenty-four 1 3/4-inch squares, and transfer to parchment-lined baking sheets. Bake until pale golden brown, about 12 minutes. Let cool on sheets on wire racks. Cookie squares can be stored in an airtight container up to 1 week.
Make the cheesecake: Preheat oven to 300 degrees. Coat a 9-by-13-inch baking dish with cooking spray. Line with parchment paper, leaving a 2-inch overhang on long sides. Coat with cooking spray.
Process cream cheese, feta, and goat cheese in a food processor until smooth. Add sugar, eggs, honey, lemon zest, and lemon juice, and process until smooth. Pour cheese mixture into prepared dish. Set dish in a large roasting pan, and place in oven. Ladle enough boiling water into roasting pan to come halfway up sides of baking dish. Bake until cheesecake is firm, about 30 minutes.
Carefully remove baking dish from roasting pan, and let cool on a wire rack. Refrigerate, uncovered, until firm, at least 2 hours (or up to overnight).
Run a knife around edges of dish, then lift up on parchment to remove cheesecake. Using a sharp knife dipped in hot water, trim edges, then cut into twenty-four 1 1/2-inch squares (dipping knife and wiping clean between cuts). Place each cheesecake square on a cookie square, and top with a lemon slice.
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