Making the Chocolate Walnut Filling:
In a small saucepan, gently combine the heavy cream and powdered sweetener over medium heat. Whisk it until well mixed and just begins to simmer.
Remove from heat, add the chopped unsweetened chocolate, and let it sit for about 5 minutes to soften.
Whisk the mixture until smooth, then stir in the vanilla extract. Set this delicious filling aside to cool while you prepare the dough.
Preparing the Dough:
Preheat your oven to 350°F (175°C). Line a large baking sheet with parchment paper or a silicone baking mat.
In a medium bowl, whisk together the almond flour, coconut flour, powdered sweetener, and baking powder.
In a separate large saucepan, melt the mozzarella cheese over low heat, stirring frequently until it's soft and can be easily stirred together.
Remove the cheese from the heat and quickly stir in the melted butter, egg, and vanilla extract until well combined.
Gradually add the dry flour mixture to the wet ingredients, stirring continuously over low heat until a dough forms. Don't worry if there are still a few cheesy streaks.
Turn the warm dough out onto a parchment-lined surface and gently knead it for just a minute or two until it's smooth and uniform.
Divide the dough into two equal portions.
Assembling the Swirls:
Place one portion of dough between two sheets of parchment paper and roll it out into a rectangle, roughly 6 by 12 inches.
Spread half of your prepared chocolate mixture evenly over the dough, leaving a 1-inch border along the long sides and a 1/2-inch border on the short ends.
Generously sprinkle 1/4 cup of the chopped walnuts over the chocolate filling.
Carefully roll up the dough from one of the long ends to form a log. Pinch the seam and the ends to seal securely.
Repeat this process with the second dough portion, remaining chocolate filling, and walnuts.
Baking and Serving:
Place the dough logs onto your prepared baking sheet.
Bake for 15 to 20 minutes, or until they are golden brown and feel firm to the touch.
Remove from the oven and allow them to cool completely on the baking sheet. It's important not to slice them while warm, or the delicious chocolate filling might ooze out!
Once cooled, sprinkle with a bit more powdered low-carb sweetener, if desired. Slice into 1/2-inch thick swirls and enjoy!