Green’s Dictionary of Slang

blue adj.5

[late 19C+] a euph. for bloody adj. (1)

In compounds

blue blazes (n.) (also blue blaizes) [blazes n. (1)]

[19C+] a euph. for hell, usu. in phr., e.g. hot as blue blazes, go blue blazes.

blue damn (n.) [SE damn]

[late 19C–1900s] an oath.

blue murder (n.)

see separate entry.

In exclamations

what the blue blazes! (also what the blue hell!)

[early 19C+] a general excl. of extreme surprise, absolute confusion etc.

who in blue!

[1970s] (US black) an intensifiying excl. used to underline a question; euph. of hell n. etc.