Place a wire rack over a baking sheet; grease with cooking spray and set aside.
In a large bowl, combine ground turkey, bread crumbs, egg, paprika, cayenne pepper, salt, fresh ground pepper, garlic and oregano.
Using a wooden spoon, mix until well combined and thoroughly incorporated.
Shape mixture into 2-inch balls and place on previously prepared baking sheet. You may have to do this in batches, depending on the size of your baking sheet.
Bake for 16 to 18 minutes, or until cooked through.
In the meantime, prepare the gravy.
Heat olive oil over medium heat in a nonstick frying pan.
Add 1 tablespoon cream cheese to heated oil; gently stir it around until the cream cheese melts.
Whisk in remaining cream cheese, mustard and worcestershire sauce.
Add flour and continue to whisk for about 3 minutes, or until the roux becomes a golden brown color.
Slowly add the chicken broth, whisking constantly to prevent lumps from forming.
Continue to cook over low heat for 10 minutes, or until the gravy thickens.
Remove meatballs from oven and add them to the gravy; continue to cook for about 1 minute, spooning the gravy sauce over the meatballs.