Roll and stretch the dough into a 12-inch square on a lightly floured surface. Combine the cream cheese, lemon zest and nutmeg in a bowl. Spread over the dough. Sprinkle with 2 tablespoons each granulated sugar and sliced almonds, then the blueberries, pressing lightly. Cut into 16 small squares and make 4 stacks of 4 squares each.
Place each stack on its side in a buttered 9-by-5-inch loaf pan. Gently separate the dough layers so the dough fills the pan. Sprinkle with the remaining 1 tablespoon each granulated sugar and sliced almonds.
Cover the loaf loosely with plastic wrap and set aside in a warm place until the dough rises by half its size, 1 to 2 hours.
Preheat the oven to 350. Bake the loaf until it's browned and cooked through, 40 to 45 minutes (tent with foil if it's browning too quickly). Let cool 15 minutes in the pan, then loosen the edges with a knife. Remove to a plate and let cool 30 minutes. Dust with confectioners' sugar before serving.