We use high-order cumulants to investigate the Lee-Yang zeros of generating functions of dynamical observables in open quantum systems. At long times the generating functions take on a large-deviation form with singularities of the associated cumulant generating functions - or dynamical free energies - signifying phase transitions in the ensemble of dynamical trajectories. We consider a driven three-level system as well as the dissipative Ising model. Both systems exhibit dynamical intermittency in the statistics of quantum jumps. From the short-time behavior of the dynamical Lee-Yang zeros, we identify critical values of the counting field which we attribute to the observed intermittency and dynamical phase coexistence. Furthermore, for the dissipative Ising model we construct a trajectory phase diagram and estimate the value of the transverse field where the stationary state changes from being ferromagnetic (inactive) to paramagnetic (active).