Combine the blueberries, sugar, and water in a heavy saucepan. Bring to a simmer over medium heat. Continue cooking, stirring occasionally, until the sugar has dissolved and the berries begin to break apart. (This should take 5 to 8 minutes.)
Remove the pan from the heat. Stir in the vanilla and lemon zest.
Cool the compote to room temperature. (It will thicken as it cools.)
Notes
Store in an airtight container in the refrigerator up to a week.