Interesting how connotations can change in different languages.
Though the colour blue does indeed translate as “blau”, this colour is associated with different emotional states in both languages.
“Blau sein” means being drunk. “To be blue”, however, can be translated as “traurig/melancholisch sein”.
Der Peter war gestern wieder einmal ziemlich blau. (Peter was pretty drunk again yesterday.)
Heute fühle ich mich ein wenig melancholisch. (I am feeling a little bit blue today.)