For the Sauce:
In a small saucepan over medium heat, add blueberries, ¼ cup water, orange juice, lemon juice, lemon zest, and sugar. Gently stir together as you bring to a boil.
In a small bowl, mix together remaining ¼ cup water and cornstarch.
Into blueberry mixture, add cornstarch mixture and simmer for four to five minutes.
Remove from heat. Stir in vanilla and cinnamon. Set aside to cool.
For the Rolls:
In an electric mixer, lightly mix warm milk and yeast. After five minutes, yeast should begin to foam slightly. If not, start over (milk was either too cold or hot to activate the yeast).
Into mixing bowl add sugar, egg, egg yolk, and butter. Mix until well combined.
Into mixing bowl, stir in flour and salt with a wooden spoon until a dough begins to form.
Using the dough hook attachment, knead on medium speed 8 to 10 times until a ball forms. Dough should be slightly sticky. (Can also be kneaded by hand on a floured surface).
Transfer dough to a large oiled bowl. Cover with plastic wrap and a warm, damp towel. Set aside in a warm area of your kitchen to rise for 1½ hours, or until double in size.
Transfer dough to a well-floured surface and roll out into a 12x18 inch rectangle. Spread softened butter over dough, leaving a ¼ inch parameter unbuttered.
In a small bowl, mix together brown sugar and cinnamon. Sprinkle and gently press in mixture over the buttered dough.
Drizzle blueberry sauce evenly over dough.
Starting from the 8-inch side, with the seam side down, tightly roll dough, sealing edges as you roll.
Using a serrated knife, cut rolled dough into seven pieces.
Place cinnamon rolls in a greased 9-inch pie pan. Cover with plastic wrap and a damp warm towel, and set aside to rise for 30 minutes.
Preheat oven to 350 degrees. Remove plastic wrap and towel from cinnamon rolls. Bake 20-25 minutes, until edges are slightly browned. Let cool five minutes before frosting.
For the Glaze:
Whisk all ingredients together and pour over cinnamon rolls.