Preheat the oven to 325 degrees F. Lightly grease a large glass baking dish.
In a medium bowl, beat together the mascarpone, cream cheese, sugar, egg yolks, zest, juice, Grand Marnier, and salt until smooth.
Place the crepes flat on a work surface. One at a time, spoon 2 tablespoons of the filling down the center, and top with a few fresh blueberries. Roll the sides of the crepe up and over the filling and place in the baking dish, seam side down. Bake until the filling is warmed through and slightly puffed, 10 minutes. Spoon the sauce over the crepes and return to the oven and hot, 2 to 4 minutes.
Remove and arrange 3 crepes on each of 4 dessert plates. Dust with confectioners' sugar and serve immediately.