Combine the blueberries, sugar, cornstarch and lemon juice in a small saucepan. Cook over medium heat, stirring often, for 4-5 minutes until the berries burst and the mixture is thick and jammy, then let it cool completely.
In a medium bowl, beat the cream cheese, sugar, egg yolk, cornstarch, vanilla and lemon zest until completely smooth.
Preheat the oven to 400°F and line two baking sheets with parchment paper. Unfold the puff pastry sheets, cut each one into 4 squares and arrange them on the baking sheets.Lightly score a 1/2-inch border around each square without cutting all the way through, then prick the centers several times with a fork.
Spoon about 2 1/2 tablespoons of the cream cheese filling into the center of each square and top with about 1 tablespoon of the blueberry compote.Whisk the egg and water together and brush it over the pastry borders. Chill the danishes for 10 minutes.
Bake for 18-22 minutes, until the pastry is puffed and deep golden and the filling is set.
Let the danishes cool on the baking sheets for 10 minutes. Whisk the powdered sugar with enough oat milk to make a drizzly glaze, then drizzle over the warm danishes and serve.