In a large mixing bowl, whisk together the all-purpose flour, granulated sugar, instant yeast, and salt. Slowly pour in warm milk while mixing in a large egg and softened butter. Knead for 8-10 minutes until smooth and elastic.

Place the kneaded dough in a greased bowl and cover with a towel. Set aside in a warm area to rise for about 1 hour, or until doubled in size.

In a medium bowl, combine cream cheese, powdered sugar, vanilla extract, and egg yolk. Blend until smooth and creamy, then chill in the refrigerator.

In a saucepan, combine blueberries, sugar, and lemon juice over medium heat. Cook until blueberries release juices. Make a cornstarch slurry and add it to the saucepan, stirring until thick.

Once the dough has risen, punch it down and divide into 10-12 equal pieces. Roll each into a ball and create an indent for filling. Lay on a parchment-lined baking sheet.

Preheat oven to 180°C (350°F). Spoon in the cheesecake filling and a dollop of blueberry compote into each indent. Bake for 18-22 minutes until golden brown.