Line a large rimmed baking sheet with parchment and place it in the freezer to chill. Keep puff pastry in the fridge until needed so it stays cold.
Make the filling: Add blueberries, granulated sugar, and lemon zest to a medium saucepan. Warm over medium heat until the berries release juices and begin to simmer, 2–3 minutes. In a small bowl whisk cornstarch with 1½ tbsp water, then stream the slurry into the bubbling fruit while stirring. Cook 1–2 minutes more, just until glossy and thickened. Scrape into a shallow bowl and refrigerate 15 minutes to cool.
Preheat the oven to 415°F with a rack in the upper-middle position. Whisk the egg with 2 tsp water to make an egg wash.
Working with one sheet of pastry at a time on a lightly floured surface, roll into a 10×12-inch rectangle. Cut into four 5×6-inch rectangles. Spoon about 2 tablespoons of cooled blueberry filling onto one half of each rectangle, leaving a clean border.
Brush the bare edges lightly with egg wash. Fold the pastry over the filling to form a 5×3-inch packet, pressing out air. Crimp edges with a fork to seal well. Transfer to the chilled baking sheet and repeat with the second pastry sheet to make 8 turnovers. Cut 2 small vents on top of each.
Freeze the assembled turnovers for 10 minutes. Brush tops with more egg wash and, if using, sprinkle with turbinado sugar.
Bake until puffed and deeply golden, 18–20 minutes, rotating the pan once if needed. Cool on the pan for 5 minutes, then move to a rack to cool another 10 minutes.
Glaze: Stir powdered sugar with 1 tbsp milk until smooth and thick but pourable, adding a few drops more milk only if necessary. Drizzle over the just-warm turnovers and let set before serving.