The blueberry mixture -- Put the blueberries, sugar, water and lemon zest in a medium saucepan. While stirring occasionally, bring the mixture to a boil over medium heat. Then immediately add the cornstarch solution and stir until the mixture thickens -- 15-30 seconds. Transfer the mixture to a bowl, and let cool to room temperature. (When completely cool, the mixture can be covered and refrigerated for several days.)
The cream cheese mixture -- Put the softened cream cheese in a medium bowl. Add the confectioners' sugar and beat vigorously with a spoon until the mixture is perfectly smooth.
Assembling the pastries -- Unfold one pastry sheet and cut it into four quarters. Put a generous tablespoon of the cream cheese mixture in the center of each quarter, and then spread the cheese out in a rough diagonal line. Top the cheese with a tablespoon of the berry mixture. Then fold opposite corners of the pastry over each other, and press gently to seal. Transfer the pastries to a parchment-lined baking sheet. Cut, fill, and form the remaining sheet of puff pastry. Put the pastries in the refrigerator while you preheat the oven to 400°F.
Baking -- Brush the top of the pastries with the beaten egg. Bake until puffed and golden -- 15-20 minutes. Transfer the baking sheet to a wire rack, and let the pastries cool for at least 30 minutes. If desired, dust the cooled pastries with confectioners' sugar just before serving.