Take puff pastry out of freezer to thaw - note make sure you read the thawing instructions. I've had pastry that only needs a half hour and some that need 2.
In a small saucepan over medium-low heat, combine blueberries, lemon juice, lemon zest, sugar, vanilla, cornstarch, and cinnamon.
Heat blueberry mixture while mixing frequently until thickened. You will notice the blueberries turn darker and start to see the juice released. If the mixture gets too thick too quickly, don't panic! Just add some water and keep stirring.
In a mixing bowl, beat cream cheese, sugar, lemon juice, and vanilla until smooth.
On a floured surface, unfold a pastry sheet and roll slightly to stretch the dough a bit. Make cuts on the sides of the dough diagonally downward.
Spread the cream cheese mixture evenly in the middle of the pastry sheet. Top the cream cheese mixture with the blueberry filling.
Fold the cut strips over the filling to make a braided design.
Transfer danish to a parchment paper lined baking sheet. Brush with egg wash and top with sugar.
Bake at 400 °F for 30-45 minutes or until golden brown and filling is bubbling.