While such things are possible, DADGBE, it seems unlikely given the date of the first printed version with the 'blue' reference and the absence of other references to Scotland. My own belief is that it is a reference to the blanket. But there are other possibilities: As the Oxford English Dictionary has it, 'blue' is a common term for servants, military ("The Rout has now come for the Blues", for example), and other public servants like police. If it is not the blanket, I would favour a reference to the lover themselves.