In small saucepan over medium high heat, add blueberries, sugar and lemon juice. Mash blueberries until only a few remain whole. Heat and stir until boiling. Remove from heat and allow to cool and thicken. Set aside.
In a large bowl, whisk together flour, sugar, baking powder, and salt. Beat in greek yogurt, eggs, vanilla, milk and melted butter until fully incorporated.
Spray doughnut pan with non-stick spray, filling each cavity with ¼-1/3 cup doughnut batter. Dollop two to three tsp of blueberry jam on top doughnut batter in each doughnut pan cavity. Using a knife swirl the jam into the doughnut batter. Bake in oven for 9 minutes, or until light golden brown.
In small bowl, whisk together powdered sugar, lemon zest, milk and vanilla bean caviar until sugar is dissolved and mixture is runny. Dunk tops of doughnuts into glaze and turn right side up to set. Serve while still slightly warm.