As Dawny33 speculated, and speculated correctly. It was fire.
This is confirmed in an interview by The Huffington Post with director of the episode "Dragon and the Wolf", Jeremy Podeswa, when asking the all important question "Was it Ice or Fire?". (Emphasis mine throughout)
“The way I looked at it was, when the sept burned down, that was green fire, and so then the dragon is going to have some kind of blueish fire,” he said. “It’s certainly still fire — it has the ability to burn the Wall and melt snow. But it’s going to have a different kind of magical quality to it, because it’s coming from an undead dragon.”
The Huffington Post in an interview with Jeremy Podeswa
This is re-confirmed in an interview with IndieWire where he discusses the humour of the acceptance of Green fire but not blue fire, although that 'chemically' the two would be different, coming from a dead being.
“It’s funny because people really accepted the green fire [of wildfire], which burned down the Sept [of Baelor] and the sea battle in the earlier season,” said Podeswa. “I think that fire can have many different manifestations. I think that the ice dragon fire is clearly still fire because it does melt The Wall and tear it down, but it had a particular quality because it’s coming from an undead dragon. So what the chemical nature of that is and the chemical nature of fire would actually be different coming from a non-sentient being. So there’s definitely some thought into that of what that should actually look like. But obviously, an ice dragon is going to have an icy kind of fire but it’s still fire.”
Jeremy Podeswa breaks down the final episode for IndieWire
Finally, when talking about the amount of practical vs visual effects used in the episode with The Hollywood Reporter, Jeremy Podeswa reveals that there are interactive elements with the scenes where the "flame" tears the wall down.
"... And there are many interactive elements also that people might not be aware of, like the dragon flame and the impact of that and what it does in terms of the effect it has on the Wall..."
The Hollywood Reporter in an interview with Jeremy Podeswa
In addition, the official script to Season 7 Episode 7 "The Dragon and the Wolf" states that it was indeed blue fire:
Hovering near the base of the Wall, the ice dragon shoots forth a steady stream of blue fire, thick as a tree trunk, strafing back and forth along the base of the Wall.
"The Dragon and the Wolf", page 62 - Official Script