Preheat oven to 350°F. Lightly grease a 12-cavity donut pan.
Whisk flour, baking powder, salt, cinnamon, and lemon zest in a large bowl.
Whisk eggs, granulated sweetener, milk, applesauce, vanilla, and melted butter in another bowl until smooth.
Pour wet mixture into dry. Stir just until combined. Do not overmix.
Fold in blueberries gently so they stay whole.
Pipe or spoon batter into pan, filling each well about three-quarters full.
Bake 10–12 minutes, until tops spring back and edges turn lightly golden.
Cool in pan 5 minutes. Transfer donuts to a rack to cool completely.
For optional glaze, whisk powdered sweetener with milk until smooth. Dip or drizzle over cooled donuts.