"Blue" is also used in regards to sex, as in Otto's immortal words to the English barrister Archie (John Cleese) in "A Fish Called Wanda" when he says of his supposed sister Wanda, "Pork away. Fuck her blue.", thus indicating that he will no longer violently intrude upon their private trysts and interrupt their intended romping, but will stand aside and allow them full rein to freely express their passion for one another.

Otto's use of language is, as usual, somewhat crude and insensitive, but his meaning is quite clear. To fuck someone blue would be to reduce them to a more or less breathless state, I'm assuming. In other words, give them the full treatment and don't hold back.