Line a 9×13-inch baking pan with parchment paper and set aside.
Process the Oreo cookies in a food processor until fine crumbs and set aside.
In a small saucepan, whisk together the water and all-purpose flour to make the Tangzhong. Cook over medium heat for 4-5 minutes until the mixture becomes a paste-like slurry. Set aside.
In the bowl of a stand mixer, combine the flour, sugar, yeast, Oreo crumbs, and salt.
Add the egg, warm milk, vanilla extract, and Tangzhong. Mix on low speed with the dough hook for 2 minutes until a shaggy dough forms.
Gradually add the softened butter, 1 tablespoon at a time, and continue kneading the dough for another 8-10 minutes until smooth and elastic.
Transfer the dough to a lightly buttered bowl, cover with plastic wrap, and let it rise in a warm spot for 45-60 minutes or until doubled in size.
Roll out the dough on a lightly floured surface into a 14×18-inch rectangle.
In a small bowl, mix the softened butter, brown sugar, black cocoa powder, cinnamon, and Oreo crumbs until smooth.
Spread the filling evenly over the dough, leaving a ½-inch border clean at the edges.
Cut the dough into twelve 1½-inch strips and roll each strip into a cinnamon roll shape. Pinch the ends to secure the filling.
Place the rolls in the prepared baking pan, cover with plastic wrap, and let them rise again for 45-60 minutes until doubled in size.
Preheat the oven to 325°F (163°C) and bake the cinnamon rolls for 20-25 minutes, or until golden brown.
While the rolls cool, prepare the icing by mixing the softened cream cheese and butter. Add powdered sugar and whisk in the heavy cream until smooth.
Spread the icing over the warm rolls and sprinkle with extra Oreo crumbs or chopped Oreos. Enjoy!