Preheat the oven to 400°F. Line a baking sheet with parchment paper and set it aside.

Cut the puff pastry into 4 equal pieces and lay them on the prepared baking sheet. Melt the blueberry jam in a small microwave-safe bowl in 15-second intervals, stirring in between each session, until spreadable. Place 1 teaspoon of the jam in the center of each pastry, spreading evenly. Evenly distribute the blueberries over the jam, dividing them equally between the four pieces of pastry.

In a small bowl, add the egg and splash of water, whisk to combine. Fold over one corner of the pastry over to cover the filling, brush a little egg wash on top of the folded-over corner. Take the opposite corner and fold it over the filling and press it down on top of the other piece of pastry. Brush the whole pastry with egg wash. Sprinkle the coarse sugar evenly over each pastry. 

Bake for 16-18 minutes until golden brown. Transfer the pastries to cool slightly on a wire rack.

While the pastries are baking, place the cream cheese and butter in a medium-sized bowl. Using a hand mixer, cream together until smooth. Add in the powdered sugar, vanilla, and lemon zest, mixing to combine. Mix in 1 tablespoon of lemon juice. If the glaze is thick yet pourable, it is ready. If it is still too thick to pour, add a little more lemon juice until it reaches the right consistency.

Drizzle the icing over the danishes and serve.