Make the Shortbread: In a medium bowl, mix the flour with the cornmeal and salt. In a standing mixer fitted with the paddle, mix the butter with the confectioners' sugar at medium speed until creamy, about 2 minutes. Beat in the orange zest and vanilla extract. Add the flour mixture and beat at low speed until the dough just comes together. Pat the shortbread dough into a disk, wrap in plastic and refrigerate for 1 hour.
Preheat the oven to 350°. Line 2 large rimmed baking sheets with parchment paper. Unwrap the chilled shortbread dough and roll it out between 2 sheets of parchment paper to an 8-inch round (1/2 inch thick). Cut the dough into 1/2-inch-wide strips and transfer the strips to the baking sheets; leave 1 inch between each strip. Refrigerate the dough strips for 30 minutes, until chilled.
Bake the shortbread for about 20 minutes, until golden; rotate the pans halfway through for even baking. While the warm shortbread strips are still on the baking sheet, cut them into 1/2-inch cubes. Let cool, about 30 minutes.
Make the Blueberry Compote: In a small saucepan, combine 1 cup of the blueberries with the sugar and water. Bring to a simmer and cook over moderate heat until the blueberries break down, about 5 minutes. Scrape the blueberry sauce into a blender, add the lemon juice and puree until smooth. Scrape the blueberry sauce into a bowl and fold in the remaining 1 cup of whole blueberries. Refrigerate until chilled, about 2 hours.
Meanwhile, Make the Cheesecake Custard: In a medium saucepan, bring 3/4 cup of the milk to a boil with 3 tablespoons of the sugar; remove from the heat. In a medium bowl, whisk the egg yolks with the cornstarch and the remaining 1/4 cup of milk and 2 tablespoons of sugar. Gradually whisk the hot milk into the egg yolks, then pour the mixture into the saucepan and whisk constantly over moderate heat until thickened, about 2 minutes. Over low heat, whisk in the cream cheese, lemon juice, grated lemon zest and vanilla extract until smooth, about 1 minute. Scrape the cheesecake custard into a bowl. Press a piece of plastic wrap directly onto the surface of the custard and refrigerate until chilled, about 2 hours.
In a medium bowl, using an electric mixer, beat the cream to medium peaks. Fold the whipped cream into the chilled cheesecake custard until no streaks remain. Spoon the shortbread cubes and custard into bowls. Drizzle with the blueberry compote, garnish with the lemon zest strips and serve.