Preheat the oven to 375°F (190°C) and line a baking sheet with parchment paper.
In a small saucepan, combine blueberries, sugar, and lemon juice. Cook over medium heat for 4–5 minutes until the berries soften and release their juices. Set aside to cool.
In a mixing bowl, beat the cream cheese, sugar, vanilla extract, and egg yolk until smooth and creamy.
Roll out the puff pastry on a lightly floured surface and cut it into 6–8 squares.
Using a knife, lightly score a border around each square without cutting all the way through.
Spoon a small amount of cream cheese filling into the center of each pastry square.
Add a spoonful of the blueberry mixture on top of the cream cheese layer.
In a small bowl, whisk together the egg and milk to create an egg wash. Brush it along the edges of the pastry.
Bake for 15–18 minutes until the pastry is puffed and golden brown.
Allow the pastries to cool slightly.
Mix powdered sugar and milk to create a glaze and drizzle it over the pastries before serving.