Lightly spray 6 ramekins or cups with non-stick spray and place on a baking tray.
Place 4 teaspoons cold water in a small bowl and sprinkle gelatin over. Let stand to soften.
In a small saucepan, heat cream with vanilla bean and orange zest. Bring to a simmer, cover with lid, and let infuse off of heat for 10 minutes.
Remove vanilla bean from cream and reheat to a simmer over low heat. Remove from stove and whisk in sugar. Whisk in goat’s cheese and vanilla. Scrape gelatin into mixture and whisk vigorously to thoroughly combine. Finally, whisk in goat’s milk. Strain mixture through a fine mesh sieve to remove any lumps and discard solids.
Divide the mixture into the prepared cups, tightly cover with plastic wrap or aluminum foil, and chill until firm, at least 4 hours, but ideally overnight.
Before ready to serve, in a small saucepan over medium heat, mix blueberry preserves with blueberries, orange zest and juice, and balsamic vinegar. Quickly heat and let blueberries blister slightly and release their juices, then remove from heat to let cool.
To serve, either run a sharp knife around the edge of each panna cotta and unmold onto dessert plates or leave directly in cups. Top with blueberry sauce.