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Preheat oven to 400°F (200°C). Line a baking sheet with parchment paper.
In a medium mixing bowl, mix the cream cheese, powdered sugar, and vanilla until smooth and creamy. Add the lemon zest and mix until fully combined. Set aside.
Lay one sheet of phyllo dough on a clean surface and brush lightly with melted butter. Place a second sheet on top, brush again with butter, and sprinkle with about ½ tablespoon of sugar.
Using your fingers, gently fold the phyllo lengthwise into a loose fan shape.
Roll it onto itself to form a nest, being careful not to roll it too tightly. Tuck the end slightly underneath to secure.
Place the nest onto a parchment-lined baking sheet. Gently flatten the center with a spoon or the bottom of a small cup to create space for the filling. Repeat with remaining phyllo sheets.
Divide the cream cheese mixture evenly among the phyllo nests. Top generously with blueberries, gently pressing them into the filling.
Bake for 18–20 minutes, or until the phyllo is golden and crisp and the filling is set.
Let cool slightly, then dust with powdered sugar before serving.