Preheat the oven to 350°F (175°C). Spray an 8x8-inch* (20x20cm) baking pan lightly with baking spray and line with parchment paper with enough overhang around the sides to easily lift the bars out of the pan once baked.
In a large mixing bowl, combine the graham cracker crumbs, pretzel crumbs, sugar, and butter and stir until evenly moist. Transfer the crumbs to the prepared baking pan and press evenly into the bottom of the pan with the back of a flat-bottomed cup. Bake the crust for 10 minutes. Then remove from the oven and allow to cool until you are done with the filling.
In another large mixing bowl, using an electric mixer fitted with a whisk or paddle attachment, beat the cream cheese and sugar on medium-high speed until smooth, about 1-2 minutes. At low speed, add one egg at a time and mix just to combine, about 1 minute after each egg. Add the vanilla and mix to incorporate. Scrape down the sides of the bowl, add the heavy cream, and mix on medium-low speed until creamy and combined, about 1-2 minutes.
Pour the filling into the pre-baked and lightly cooled crust, spread evenly, and bake for 30-35 minutes or until set with a slight jiggle in the center. The cheesecake will continue to cook as it cools and firm up. Let it cool at room temperature for 1 hour, then transfer to an airtight container and store in the fridge for at least 6 hours but preferably overnight. Cut into squares and store in the fridge for up to 3 days or freeze for up to 3 months.