Heat oven to 350. Spray a 9" pan w/ cooking spray, line pan w/ parchment paper. Place pan on cookie sheet.
In bowl, mix 2 tbsp blueberries w/ lemon zest, mash w/ fork. Stir in preserves, remaining blueberries and cut up butter. Separate cinnamon rolls, press each roll into parchment paper into 4" rounds.
Spoon 1 tbsp blueberry mix into center of each round. Fold dough over filling, press edges to seal. In small bowl, whisk egg. Brush egg over rolls. Bake 25 mins. Microwave icing, place icing in a bowl, whisk in lemon juice. Drizzle over rolls. Sprinkle w/ pecans.