Dissolve sugar and yeast in the warm milk and stir to blend. Allow to sit for about 10 minutes, until the yeast starts to foam and bubble.
Using the paddle attachment on your mixer, mix in one cup of flour until combined. Add in the butter along with one more cup of flour, mixing well. Add in eggs, salt and remaining flour and mix thoroughly. Dough should come together. Form into a ball and place into a greased bowl, turning once to grease top. Cover with plastic wrap and let rise for about 1-hour until doubled in size.
After dough has risen, turn out onto lightly floured surface and roll out to about an 18x15 inch rectangle. Spread dough with the blueberry jam, top with blueberries and sprinkle with the lemon zest.
Starting at a long end, roll up jellyroll style, not making it too tight. Pinch seam to seal and turn seam side down on your surface.
Slice roll lengthwise to form two pieces. Carefully twist each piece around each other, keeping cut side up. Spray a 10-inch iron skillet (or similar size pan) with a non-stick cooking spray. Place dough into pan in a circular fashion, tucking ends under. Bake in a 350 degree preheated oven for about 35 minutes until lightly browned.
Remove bread and cool in pan.
Combine lemon juice and powdered sugar in a small bowl. Whisk until smooth, adding more lemon juice if necessary. Drizzle icing across surface of the bread.