Watermelon cooking

I tried--and failed--to make watermelon concentrate for gelato. The result was a nasty mess that tasted vaguely like squash. In my experience, watermelon doesn't hold up at all well to sustained heat. A quick pass on the grill? Sure. Baked? Hmm, maybe not.

And whatnot watermelon steak.... ? Weird combination come in to exsistnce from random pairings all the time

Creamtea is right. Its just too watery.

Having said that, if you are willing to experiment a bit, consider the old timey Southern treat Watermelon Rind Preserves. They come out wildly flavorful. I can certainly see a nice cheese cake topped with chopped watermelon preserves. Lots of recipes if you google it.

I have a recipe for a watermelon pudding somewhere that is used as a pie filling. I haven't tried it yet but, if it works, I could see layering it with cheesecake. Hmmm... maybe?

I don't see the flavor or texture of watermelon as being compatible with cheesecake at all. They are mostly watery with not a lot of "solids". The pieces of melon will collapse during baking and you'll have pools of pinkish water ruining the overall effect. There are better fruits to try with cheesecake, (cherry, blueberry, strawberry etc.). Often, they are toppings added after the cheesecake is baked. However, here is a raspberry cheesecake from Martha Stewart via Smitten Kitchen that uses the fresh fruit: https://smittenkitchen.com/2014/08/raspberry-swirl-cheesecake/
I see watermelon as working well in granita, a frozen dessert, rather than cheesecake. https://cooking.nytimes.com/recipes/1014903-watermelon-granita