Place a small pot over medium heat. Add the blueberries, granulated sugar, lemon juice, and vanilla into a pot and mix to combine. Bring to a simmer until all of the sugar is dissolved and some of the blueberries start to burst.
At this point, mix the cornstarch and water together in a small bowl and then pour into the pot. Continue stirring over high heat for a few more minutes until the jam thickens up a bit. Remove from heat and allow to cool for a few minutes before assembling the egg rolls.
In a large bowl, use an electric hand mixer to beat the sweetened condensed milk, powdered sugar, and cream cheese together until smooth.
Crack the egg into a small bowl and beat it with a fork. Set aside.
Lay an egg roll wrapper in a diamond shape, with one corner pointing towards you and one corner pointed away. About ⅓ of the way up the wrapper, place about 1 ½ tbsp of cream cheese filling (or more) in a horizontal line, leaving about ½” on the right and left sides. Then use a spoon to scoop some of the blueberry filling on top of the cream cheese mixture.
Fold up the bottom corner to cover the filling and roll once. Wrap in the two side corners, then continue wrapping until you get to the final, far corner. Wet it with a bit of the beaten egg to hold it in place, then stick the final corner to the egg roll (see photos for clearer explanation).
Heat about 2” of oil until it’s hot enough that when you add an egg roll, it begins to bubble immediately. Deep fry the egg rolls in batches, about 4 at a time, turning them so that they cook evenly… When they are brown and the wrapper has bubbled, remove them from oil and let them rest on a paper towel-lined plate to remove excess oil.
Sprinkle with powdered sugar and enjoy!