In a saucepan, heat milk and butter to 110°-115°. In a large bowl, dissolve yeast in warm milk mixture. Add the sugar, salt, egg and 2 cups flour; beat until smooth. Stir in enough remaining flour to form soft dough.
Turn onto floured surface; knead until smooth and elastic, about 6-8 minutes. Place in a greased bowl, turning once to grease top. Cover and let rise in a warm place until doubled, about 1-1/4 hours.
Punch dough down. Turn onto a floured surface; divide in half. Roll each into a 14x8-in. rectangle; brush with melted butter. Combine sugar, cinnamon and lemon zest; sprinkle over dough to within 1/2 in of edges. Top with blueberries; press into dough.
Roll up, jelly-roll style, starting with a long side; pinch seam to seal. Cut each into 12 slices. Place, cut side down, in two greased 13x9-in. baking pans. Cover and let rise until doubled, about 1-1/4 hours.
Bake at 375° for 20-25 minutes or until golden brown. Cool for 5 minutes before removing from pans to wire racks. For glaze, combine sugar, vanilla and enough water to achieve a desired consistency. Drizzle over warm rolls. Cool in pans on wire racks.