Preheat your oven to 375°F (190°C).
In a small saucepan, combine the blueberry preserves and cornstarch over medium heat. Stir until thick, then remove from heat and let cool slightly.
On a floured surface, roll out the pie crusts if necessary. Cut into rectangles (3x4 inches), aiming for at least 8 rectangles.
Place half of the rectangles on a lined baking sheet. Spoon a tablespoon of filling onto each, leaving a border. Place remaining rectangles on top, sealing edges with a fork.
Beat the egg and brush it over each pastry for a shiny finish.
Bake for 20-25 minutes or until golden brown.
Prepare the glaze by whisking powdered sugar, remaining blueberry preserves, milk, and vanilla until smooth.
Once baked, let cool slightly and drizzle with glaze. Allow glaze to set before serving.