To make the filling, blend the cream cheese and sugar with an electric mixer. Add the egg yolk, lemon zest and vanilla. Stir well to combine. Roll the dough into a long rectangle. Spread the cream cheese mixture down the center. Sprinkle the blueberries over the cream cheese.
Make 3 inch cuts along each side of the dough, about 1 inch apart. Cross the strips to create a braiding effect across the center. Transfer the danish to a baking sheet and bake at 400 degrees for 20-25 minutes.