Begin by making the Blueberry Filling: In a three quart saucepan, stir together all the ingredients. Bring them to a boil, and then cook for three minutes, or until the filling is thick.
Next, make the Cookie Dough: In an electric mixer, cream the butter and sugar. Then, add the egg, milk, lemon zest, and vanilla, and beat until combined.
Sift together the flour and baking powder, and stir it into the sugar mixture, just until no streaks remain. Dump the dough on to a floured board and form it into a disc. Cut the disc into six pieces. Roll each disc out on and using a three inch round cookie cutter, cut four circles out and place on a parchment lined baking sheets. You can reroll the dough if you need to. Repeat with the rest of the dough.
Stir together the egg wash. Brush each dough disc with the egg wash, and then put a teaspoon of filling in the center of each disc. Fold up three sides of the circle to form a triangle and pinch the corners together. Brush the outside of the cookie with more egg wash. Place the baking sheets in the freezer for forty minutes.
Preheat the oven to 350 degrees. Bake the cookies one sheet at a time for 15 minutes. Cool on a wire rack.