Preheat the oven and line a baking sheet with parchment paper. Mix cream cheese, sugar, lemon zest, lemon juice, and vanilla until smooth.
Roll out the dough and spread the filling evenly, leaving a border around the edges. Scatter the raspberries over the top and press them in lightly.
Roll the dough into a log, slice into even pieces, and arrange on the tray. Brush with egg wash and sprinkle with coarse sugar.
Bake until puffed and golden, then cool slightly. Whisk powdered sugar with milk and drizzle the glaze over the warm rolls.
