Green’s Dictionary of Slang

blue devils n.

1. [18C+] a fit of depression; thus blue-devilled adj., depressed [blue adj.1 (1), feelings that ‘bedevil’ the sufferer].

2. [19C+] a severe hangover; delirium tremens [the ‘blue devils’ the drunkard supposedly sees].

In phrases

give someone blue devil (v.)

[1980s+] to be angry with someone.