Place the cream cheese and ricotta in a bowl. Use a fork to mash until just combined. Add the icing sugar and lemon zest and use the fork to mix until evenly combined.
Roll 1 tablespoon of the mixture into a ball (the mixture will be soft). Press a blueberry inside and roll to enclose. Repeat with remaining ricotta mixture and blueberries.
Combine the biscuits and coconut on a plate and roll the balls in the mixture. Transfer to a plate and place in the fridge for at least 2 hours or until firm.
