In a medium saucepan, combine fresh blueberries and sugar over medium heat. Stir gently, allowing the mixture to simmer for about 10-15 minutes until the blueberries burst and thicken into a jam consistency, bubbling softly. Once thickened, remove from heat and let the jam cool completely while you prepare the filling.

In a mixing bowl, beat together the cream cheese, sugar, and vanilla extract using an electric mixer on medium speed until smooth and creamy. Cover the bowl and refrigerate the filling while you focus on the cookie dough.

In a separate bowl, whisk together the all-purpose flour, baking powder, and salt. In another large bowl, cream room temperature butter, sugar, and lemon zest together until light and fluffy, about 3-4 minutes. Gradually add in the egg and vanilla, mixing well, then slowly incorporate the dry mixture until just combined.

Wrap the cookie dough in plastic wrap and refrigerate for at least 30 minutes.

Preheat your oven to 350°F (175°C) and line a baking sheet with parchment paper. Scoop out portions of the chilled dough, roll them into balls, flatten each ball slightly, add a dollop of the cheesecake filling in the center, and top with a spoonful of blueberry jam. Fold the edges of the dough over to seal the filling inside.

Place the assembled cookies on the prepared baking sheet and bake for 12-15 minutes, until the edges are golden and the tops look set.

Allow the cookies to cool on the baking sheet for about 5 minutes before transferring them to a wire rack to cool completely.