Did someone say OED? "the blues" is older than Irving.

blue a 3. fig. a. Affected with fear, discomfort, anxiety, etc.; dismayed, perturbed, discomfited; depressed, miserable, low-spirited; esp. in phr. to look blue. blue funk (slang): extreme nervousness, tremulous dread; also blue-funk school, a jocular perversion of 'blue-water school'; blue fear, a variant of blue funk.

a1550 Peblis to Play ii. 6 Than answerit Meg full blew.
c1600 Rob. Hood (Ritson) II. xxxvi. 84 It made the sunne looke blue.
1682 N. O. Boileau's Lutrin I. 316 But when he came to't, the poor Lad look't Blew.
1783 AINSWORTH Lat. Dict. (Morell) I. s.v. Blue, He looked very blue upon it, valde perturbatus fuit.
1840 DISRAELI Corr. w. Sister (1886) 15 Great panic exists here, and even the knowing ones..look very pale and blue.
1861 Sat. Rev. 23 Nov. 534 We encounter..the miserable Dr. Blandling in what is called..a blue funk.
1871 MAXWELL in Life (1882) xii. 382 Certainly is the Homeric for a blue funk.
1883 Harper's Mag. Mar. 600/1 I'm not a bit blue over the prospect.
1883 STEVENSON in Longm. Mag. Apr. 683 The very name of Paris put her in a blue fear.
1908 Daily Chron. 24 Feb. 4/6 The identification by Mr. Harvey, M.P., of the 'blue-water school' with the 'blue funk school'. Ibid. 20 July 4/3 The Jingo..is a nobler being than the disciples of our 'blue-funk' school.

12. the blues (for 'blue devils'): depression of spirits, despondency. colloq.

1741 D. GARRICK Let. 11 July (1963) I. 26, I am far from being quite well, tho not troubled wth ye Blews as I have been.
1807 W. IRVING Salmag. (1824) 96 In a fit of the blues.
1856 G. J. WHYTE-MELVILLE K. Coventry viii. 89 The moat alone is enough to give one the 'blues'.
1883 Harper's Mag. Dec. 55 Come to me when you have the blues.
1887 'J. S. WINTER' That Imp ii. 11, I wonder you and Betty don't die of the blues.
1960 New Statesman 27 Feb. 274/2 The post-election blues are beginning.