Preheat the oven to 350 degrees F. Spray an 8-inch square glass baking dish with nonstick cooking spray and line with a strip of parchment paper.
Using a rubber spatula, mix together the brownie mix, vegetable oil, egg and 1/3 cup water in a medium bowl until just combined. In a separate medium bowl, whisk together the mascarpone, sugar and lemon zest. Pour half the brownie batter in the bottom of the prepared dish and spread evenly. Dollop half of the cheesecake mixture on top and swirl in. Continue with the remaining brownie batter and cheesecake mix.
Bake until the brownie just barely jiggles and only a few crumbs come out on a toothpick inserted in the center, 55 minutes to 1 hour. Cool completely before refrigerating. Serve chilled.