In the bowl of a stand mixer, combine the warm milk, sugar, and yeast. Let it sit for 5 minutes until it becomes foamy.
Add the flour, egg, and softened butter. Mix on low speed using the dough hook for 6 to 8 minutes, or until the dough is smooth and pulls away from the sides of the bowl.
Cover the bowl with a damp cloth and let the dough rise in a warm spot for 60 to 90 minutes, or until doubled in size.
While the dough rises, beat the cream cheese, powdered sugar, and vanilla extract together in a small bowl until smooth.
Punch down the risen dough and roll it out on a floured surface into a 10×15 inch rectangle.
Spread the cream cheese mixture evenly over the dough, leaving a small border at the edges. Sprinkle the blueberries and lemon zest over the cheese layer.
Roll the dough tightly into a log starting from the long edge. Use a sharp knife to cut the log in half lengthwise, exposing the layers.
Twist the two halves around each other to form a braid and place it gently into a greased loaf pan.
Preheat your oven to 350°F. Cover the loaf and let it rest for another 20 minutes while the oven heats up.
Bake for 35 to 40 minutes, or until the top is golden brown and a toothpick inserted into the center comes out clean. Allow to cool completely before slicing.