Whisk together the flour, instant yeast, granulated sugar, salt and nutmeg. Add the milk, egg and melted butter. Mix until combined and a dough forms, then, knead the dough for an additional 8-10 minutes until the dough bounces back if you press your finger into it. Let rise for 1 1/2 hours.
On the stove, combine the blueberries, granulated sugar and lemon juice, constantly stirring. Smash the blueberries so that they release their juices. Let the mixture simmer while stirring occasionally until thickened.
Roll out the dough into a 16x20 inch rectangle. Spread the filling on the right 2/3 of the rectangle. Take the left 1/3 that is not covered in filling, and fold that towards the center. Take the right side and fold it towards the center. Cut the dough into 12 equal pieces.
Working piece by piece, make a slit in each piece of the dough, not cutting it completely in half. Weave the two pieces together and lie it flat. Roll the dough up onto it self and place it on a baking sheet. Repeat with the rest of the dough. Let rise for another 40 minutes.
Brush an egg wash onto the edges of the rolls, then bake at 350 degrees Fahrenheit for 14-15 minutes until slightly golden on top. Make the cream cheese frosting, frost, and enjoy!