For the filling: Combine the blueberries and granulated sugar in a medium saucepan over medium heat. Bring to a boil, reduce the heat and cook, stirring, until the sugar is melted and the berries have started to burst, a few minutes. Stir together the cornstarch and lemon juice in a small bowl until combined, then add to the blueberry mixture. Add the lemon zest and vanilla and continue to cook until glossy and thickened, 2 to 3 minutes. Remove from the heat and let cool completely. Cover and refrigerate until ready to use.
For the pastry: Preheat the oven to 400 degrees F. Line 2 baking sheets with parchment.
To make the pies, unfold the thawed pastry and roll out to 10-inch squares if necessary. Cut each square in quarters, making four 5-inch squares from each. Spoon 1 1/2 tablespoons of cooled filling onto one corner of each square. Brush around the squares with the egg wash. Fold the pasty over the filling on each to make a triangle, pressing lightly to remove any air pockets. Crimp the edges shut with a fork. Put the pies on the prepared baking sheets. Brush the tops of the pies with the egg wash. Bake until golden brown, about 20 minutes. Transfer to a cooling rack set over a baking sheet.
For the glaze: Mix the powdered sugar, vanilla and 1/3 cup cold water in a bowl until smooth. Drizzle the glaze over the pies and let set until dry.