Position an oven rack in the lower third of the oven and preheat to 400°F (200°C). Line two large baking sheets with parchment paper.
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.
Once some of the blueberries have burst and the mixture has thickened to a jam-like consistency, remove the saucepan from the heat. Let the filling cool slightly before assembling the pastries.
Unfold the thawed puff pastry sheets onto the prepared baking sheets. Cut each sheet into 4 equal squares to make 8 pieces total.
Spoon approximately 1–2 tablespoons of blueberry filling into the center of each pastry square. Avoid overfilling, as excess filling can leak during baking.
Fold one corner of each square diagonally over the filling to meet the opposite corner, creating a triangle.
Press the edges together firmly with your fingers, then crimp with a fork to create a secure seal. Cut a small slit in the top of each turnover to allow steam to escape.
For especially flaky Blueberry Turnovers, place the assembled pastries in the freezer for 10–15 minutes before baking.
Brush the tops lightly with beaten egg.
Bake for 15–20 minutes, or until the puff pastry is risen, crisp, and deeply golden.
Let the pastries cool on the baking sheets for about 5 minutes, then transfer them to a wire rack.
Whisk the powdered sugar and milk together in a small bowl until smooth. Drizzle the glaze over the cooled turnovers and allow it to set before serving.