Place the wrapped Reese’s peanut butter cups in the freezer for about 2 minutes. After 2 minutes, remove the wrappers from peanut butter cups. Freezing them will make it easier to remove the wrappers without losing any of the chocolate outside.
Beat butter, peanut butter, brown sugar, and granulated sugar in a large bowl of a stand mixer on medium speed until light and fluffy about 5 minutes; blend in the whole egg. Stir together the flour and baking soda; add to the butter mixture, scraping the sides and bottom halfway through the process. Shape dough into 1-inch balls. Stir together the egg white and water; beat with fork until foamy. Roll balls in egg white mixture, then in crushed cereal. Place on ungreased cookie sheet; press with thumb or finger tips in center making an indentation.
Bake for 10 minutes or until cookies are set.
Remove from oven; immediately press peanut butter cup onto each cookie. Cool 1 minute; remove carefully from cookie sheet to wire rack. Cool completely.