And then there's blue murder - an old phrase well used in Victorian times but out of style now, if still well known.
Mr Google can of course come up with lots of reasons.
Such as, it comes from the a French curse word, morbleu, which stands for the death of God, 'mort de Dieu'.
Or, it dates back to the 17th century when blue was used in England to describe someone who was terrified.
Or, it has a connection to hell, in that brimstone burns with a blueish flame.
Whatever, I enjoyed playing with the idea at an art class recently.