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Alternate story from https://www.etymonline.com/word/cheesecake
The modern slang meaning dates from 1933; a “Time” magazine article from 1934 defined it as “leg-pictures of sporty females.”
This, to me, doesn’t answer the question “Why cheesecake”, but the following from [email protected]’s link does, albeit a little
One day James was posing an attractive young woman when a breeze blew her skirt up. When more leg than usual came on display, Mr. Kane (who reputedly loved cheesecake) exclaimed, “Wow! This is better than cheesecake!”