Preheat the oven to 400°F. Position an oven rack in the lower third of the oven. Line two large baking sheets with parchment paper or silicone baking mats.

Add the blueberries, granulated sugar, cornstarch, water, lemon zest, and lemon juice to a medium saucepan. Cook over medium heat until the mixture reaches a gentle simmer.

Reduce the heat to medium-low and cook for 3–5 minutes, stirring frequently, until the blueberries burst and the mixture thickens to a jam-like consistency. Remove from the heat and let it cool slightly.

Place the thawed puff pastry sheets on the prepared baking sheets. Cut each sheet into four equal squares, creating 8 squares total.

Spoon 1–2 tablespoons of the blueberry filling into the center of each square. Avoid overfilling so the pastries seal properly.

Fold one corner of each square diagonally toward the opposite corner to create a triangle. Press the edges together with your fingers or seal them with the tines of a fork.

Cut a small slit in the top of each pastry to allow steam to escape. For especially flaky blueberry turnovers, place the filled pastries in the freezer for 10–15 minutes before baking.

Brush the tops with the beaten egg. Bake for 15–20 minutes, or until the pastry is puffed and deeply golden.

Let the turnovers cool on the baking sheet for about 5 minutes, then transfer them to a wire rack.

Whisk the powdered sugar and milk together until smooth. Place parchment paper beneath the rack and drizzle the glaze over the cooled pastries. Allow the glaze to set before serving.