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It's a name for a dog, and not a very good one; dogs aren't blue. Even gray dogs and cats aren't really blue despite being officially designated as Blue terrier or Russian blue.
Ever since Cher and Gregg Allman stuck Blue in as their son Elijah's middle name, people, mainly celebrities, have liked to tack it onto their kids' names. It's dumb.

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Before you criticize a man, walk a mile in his shoes. That way, when you criticize him, you're a mile away and you have his shoes!
Steve Martin