Whisk the flour, sugar, salt, and lemon zest together in a large bowl. Set aside.

Combine the milk and butter together in a heatproof bowl. Microwave or use the stove and heat until the butter has melted and the mixture is warm to the touch (about 110°F/43°C, no higher). Whisk in the yeast until it has dissolved. Pour mixture into the dry ingredients, add the egg, and stir with a sturdy silicone spatula or wooden spoon; OR use a stand mixer with a dough hook attachment on medium speed. Mix until a soft dough forms.

Transfer dough to a lightly floured surface. Using floured hands (or the dough hook attachment if using a stand mixer), knead the dough for 3–5 minutes. (If you’re new to bread-baking, my How to Knead Dough video tutorial can help here.) If the dough becomes too sticky during the kneading process, sprinkle 1 teaspoon of flour at a time on the dough or on the work surface/in the bowl to make a soft, slightly tacky dough. Do not add more flour than you need because you do not want a dry dough. After kneading, the dough should still feel a little soft. Poke it with your finger—if it slowly bounces back, your dough is ready to rise.

Lightly grease a large bowl with nonstick spray or butter. Place the dough in the bowl, turning it to coat all sides. Cover the bowl tightly and allow the dough to rise in a relatively warm environment until nearly double in size, about 1.5 hours. (If desired, use my warm oven trick for rising. See my answer to Where Should Dough Rise? in my Baking with Yeast Guide.)

Combine blueberries, sugar, and lemon juice together in a small saucepan with tall sides over medium heat. Stir constantly with a wooden spoon or silicone spatula, pressing the blueberries against the sides of the pan (stand back in case they splatter!). Once the blueberries are mostly smashed and the sugar has dissolved, stop stirring and allow to come to a boil. Boil, stirring occasionally, until the mixture is slightly reduced, about 10 minutes. (If you have a candy or instant-read thermometer, the mixture should reach about 215–220°F.) You should have about 1/2 cup (around 160g). Remove from heat and allow to cool completely. The filling will thicken as it cools. You can transfer it to a shallow heat-safe dish and place it in the refrigerator to cool down quicker. Set aside.

Grease a 9- or 10-inch round cake pan, pie dish, or square baking pan or line with parchment paper.

When the dough is ready, punch it down to release the air. Flour a work surface, your hands, and a rolling pin. Roll the dough out to a 14×9-inch (36x20cm) rectangle. *Note: Should it run over the sides of the dough, the blueberry filling can stain a work surface. If needed, transfer the rolled-out dough to a piece of parchment paper or silicone baking mat.* Gently spread the blueberry filling mixture on top. Using floured hands, tightly roll up the dough to form a 14-inch-long log.

Cut into 9–12 even rolls and arrange in the prepared pan.

Cover the pan with aluminum foil, plastic wrap, or a clean kitchen towel. Allow the rolls to rise in a relatively warm environment for about 1 hour, or until doubled in size and puffy. (For a tiny reduction in rise time, see my answer to Where Should Dough Rise? in my Baking With Yeast Guide.)

After the rolls have nearly doubled in size, preheat the oven to 375°F (190°C). Bake for 24–25 minutes, or until lightly browned. If you notice the tops are getting too brown too quickly, loosely tent the pan with aluminum foil and continue baking. If you want to be precise about their doneness, the rolls’ internal temperature taken with an instant-read thermometer should be around 195–200°F (91–93°C) when done. Remove pan from the oven and place pan on a cooling rack as you make the icing.

In a medium bowl using a handheld or stand mixer fitted with a paddle or whisk attachment, beat the cream cheese on high speed until smooth and creamy. Add the butter and beat until smooth and combined, then beat in the confectioners’ sugar and lemon juice until combined. Using a knife or icing spatula, spread the icing over the warm rolls and serve immediately. If desired, garnish frosted rolls with a slice of lemon or a light sprinkling of lemon zest.

Cover leftover frosted rolls tightly and store in the refrigerator for up to 5 days. Unfrosted rolls can be stored at room temperature for up to 2 days, or in the refrigerator for up to 5 days.