Blue songs aren't all necessarily about feeling sad or having the blues. Some of the best songs about the color blue are simply about the actual color itself, rather than the feelings or associations tied to it. Bob Dylan wrote one of the best blue songs with the stand-out "Tangled Up in Blue" from his break up album "Blood on the Tracks."
Our greatest American composer, George Gershwin, composed the exultant jazz-classical work "Rhapsody in Blue" as far back as 1924. Woody Allen loved this blue song much, he used it to convey his love affair with New York his opening scene of "Manhattan" (which you can check out below). Other songwriters like Joni Mitchell go decidedly more mellow with her rendering of "Blue."