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Preheat oven to 350 F. Generously grease a large bundt pan with shortening and coat with a mixture of 50% flour and 50% cocoa powder.
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In a large mixing bowl, combine the cake mix, cocoa powder, eggs, oil, water, sour cream and vanilla. Mix all the ingredients until they are well combined and smooth. Set aside.
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Remove the wrapper and microwave the cream cheese for 20 seconds.
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In a medium sized bowl, combine the softened cream cheese with the egg, granulated sugar and vanilla. Mix all the ingredients until they are well combined and smooth. Stir in the crushed Oreos.
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Place at least ⅓ of the batter into the bottom of the greased and floured pan, be sure to cover at least the bottom nooks and crannies.
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Then spread the Oreo cheesecake over the top of the batter and try to spread it evenly.
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Finally, cover the cheesecake layer with remaining cake batter. Bake at 350 F for 45 to 52 minutes. Test the cake for doneness, insert a knife into the cake, if the knife comes out clean, the cake is done.
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Allow the cake to cool for at least 15 to 20 minutes and gently run a knife around the sides of the pan to help release the cake from the sides of the pan. Turn the cake onto a pan. Allow the cake to cool completely.