Preheat oven to 400°F (200°C). Combine blueberries, sugar, cornstarch, lemon juice, zest, and vanilla in a saucepan. Cook over medium heat, stirring often, until thick, about 5 minutes. Cool.

Unroll pie crusts and cut into six 4-inch circles. Re-roll scraps once if needed.

Spoon a tablespoon of cooled filling onto each circle. Fold dough over to form a half-moon and press edges with a fork to seal. Cut a small vent on top.

Beat egg with water and brush over pies. Sprinkle generously with coarse sugar.

Place on a parchment-lined baking sheet and bake 20 to 22 minutes, until deep golden. Cool 10 minutes before serving.