Could it not be that the Blue Wizards are blue because they came to Middle Earth-earth by boat from the sea? Or possibly in order to get those who rebelled against Sauron to trust them? Since no servant of Melkor or Sauron would DEIGNdeign to wear blue, as well as since blue signifies loyalty, truth, and calmness, and other stuff? And could it also be that OromeOromë wore blue himself? Or that ManweManwë commanded them to wear blue to signify their allegiance to Eru and himself?