Preheat oven to 350°. Line a 9" square baking pan with parchment paper or aluminum foil, leaving an inch overhang on the sides. Spray with non-stick cooking spray.
In a small bowl, stir together Oreo crumbs and melted butter. Press into the bottom of the prepared pan. Bake for 6 minutes.
While crust is baking, place cream cheese in a mixing bowl. Beat till smooth and creamy. Add sugar and beat till smooth. Add egg and vanilla and beat at low speed just till blended.
Pour over crust. Heat Nutella till pourable, then drop by spoonfuls over the top of the filling. Swirl with a butter knife.
Bake for about 25 minutes or till middle is set and edges are very lightly browned. Cool on cooling rack, then chill for at least an hour. Cut into bars. Store leftovers in the fridge.