Preheat the oven to 400°F and line a baking tray with parchment paper.
In a bowl, blend cream cheese, powdered sugar, and vanilla extract until smooth.
Combine blueberries with cornstarch and lemon juice in a separate bowl.
Lightly flour a counter and roll out puff pastry to about 12×16 inches.
Cut pastry into 8 equal rectangles, roughly 4×6 inches each.
Place a spoonful of cream cheese mixture in the center of each pastry piece, then top with blueberry mixture.
Fold the edges over the filling to form sealed packets.
Whisk together egg and milk, then brush over the pastry packets.
Bake for 15 to 18 minutes until golden and puffed.
Remove from oven, cool slightly on a wire rack, and dust with powdered sugar if desired.