Oil six 6-oz. ramekins. Pour 2 Tbsp. cold water into a small bowl. Sprinkle gelatin over water and let stand until softened, about 10 minutes. Place bowl into a larger bowl of hot water and stir until gelatin has dissolved and liquid is clear.
Blend sugar and zest in a food processor until zest is finely ground. Whisk together lime juice, sugar mixture and yolks in a saucepan. Cook, whisking, over medium-low heat for about 3 minutes to dissolve sugar. Remove from heat and whisk in gelatin. Cool to room temperature, whisking often.
Beat cream cheese and sour cream until smooth. Add heavy cream and beat on medium-high speed until mixture forms stiff peaks. Pour lime juice mixture through a sieve set over a bowl, pressing to extract as much liquid as possible. Whisk juice into cream cheese mixture and pour into ramekins. Let cool to room temperature. Chill, loosely covered, at least 3 hours, until set and chilled.
To serve, dip bottoms of ramekins one at a time into a bowl of hot water for about 5 seconds, and run a small knife around edges. Invert cheesecakes onto serving plates and serve immediately.