In a small saucepan over low heat, whisk together egg yolks, sugar, lemon juice, and zest. Stir constantly until the mixture thickens and coats the back of a spoon (about 6–8 minutes). Remove from heat and whisk in cold butter, one piece at a time, until smooth. Strain through a fine-mesh sieve into a bowl, press plastic wrap onto the curd, and chill.

In a medium bowl, whisk together flour, sugar, baking powder, baking soda, and salt.

In a separate bowl, beat eggs, milk, yogurt, melted butter, vanilla, and lemon zest until combined.

Pour wet ingredients into the dry and stir until just combined. The batter should be thick but scoopable. Fold in blueberries gently to avoid too much color bleeding.

Fill a heavy-bottomed pot with 2–3 inches of oil and heat to 350°F (175°C).

Using a small cookie scoop or two spoons, drop 1-tablespoon portions of batter into the hot oil, frying in batches so the oil temperature holds. Fry for about 2–3 minutes, turning once, until golden and cooked through. Transfer to a wire rack over a baking sheet lined with paper towels to drain.

If baking: Spoon batter into a greased mini donut pan and bake at 350°F for 8–10 minutes or until a toothpick comes out clean. Cool slightly before removing.

Once the donut holes are cool enough to handle, spoon lemon curd into a piping bag fitted with a small round tip. Insert the tip into each donut hole and gently squeeze to fill.

Whisk powdered sugar with lemon and orange juice, and add milk only if you need to thin the glaze to a pourable consistency. Dip the tops of the donut holes or drizzle glaze over them. Let the glaze set for a few minutes before serving.