Preheat oven to 400°F. Line two large baking sheets with parchment paper; set aside.
In a medium bowl beat cream cheese with an electric mixer on medium speed until smooth. Add sugar, lemon juice, and vanilla. Beat until well mixed; set aside. In a small bowl stir together blueberries and blueberry preserves; set aside.
On a lightly floured surface, roll each sheet of the thawed puff pastry into a 10-inch square. Cut each square into six rectangles (each about 5x3 1/2 inches). Transfer rectangles to prepared baking sheets. Using a fork, prick the center of each rectangle, leaving a 1/2-inch unpricked border around all the edges. In a small bowl beat egg and the water together with a fork. Brush rectangles with egg mixture. Spread a well-rounded tablespoon of the cream cheese mixture onto the center of each rectangle, leaving a 1/2-inch border. Top each with 2 rounded teaspoons of the blueberry mixture, spreading evenly over cream cheese mixture.
Bake for 15 to 18 minutes or until golden brown. Transfer to wire racks. Cool completely.