1. Preheat the oven to 375°F. Line a cookie sheet with parchment paper.
2. Spread the preserves all over the crust. In a small bowl, combine the cinnamon and 2 tablespoons blue sugar. Sprinkle all over the preserves. Cut the crust into 16 even wedges, then roll the wedges from the wide end to the tip. Transfer to the prepared sheet, tip side down. Brush the tops with milk, then sprinkle with the remaining teaspoon blue sugar.
4. Bake until golden on top and cooked through in the center, about 25 minutes. Immediately transfer to a wire rack and cool completely.
Tip: The rugelach can keep in an airtight container for up to 3 days.