Preheat the oven to 350°F. Prepare a donut pan with cooking spray.
Using a stand or hand mixer, whip the cream cheese for 60 seconds. Scrape down the bowl and slowly add the oil with the mixer on. Mix on medium speed until combined.
Add eggs to the cream cheese one at a time, making sure each egg is totally combined before adding the next. Stop and scrape down the bowl again.
Add the vanilla extract and lemon zest and mix to combine. Next, add the cake mix and pudding powder. MIx on low until just combined. The batter will be very thick.
Fold in the blueberries by hand.
Using a plastic storage bag or a piping bag, fill each donut pan cavity ⅔ full. Don't fill them to the top! This dough will almost double in size when baked.
Bake for 14-15 minutes or until the bottom of the donuts are a light golden brown. Allow the donuts to cool for 15 minutes before removing them from the pan.