My LFS has a blue tilefish, which is very pretty. Seems to hide a lot, though. Here is a link to similar fish from the web. They appear to be challenging to keep:
http://www.marinedepotlive.com/purpl...h--gobies.html
http://www.marinedepotlive.com/purpl...h--gobies.html
Some of the blue damsels (not chromis) are fairly (relatively) peaceful and electric blue. A small blue devil or yellowtail blue damsel might be okay with the fish you have. So some research, you may find a species that would be a good fit and the color you are looking for.
http://www.aquahobby.com/marine/e_cxanthurus.php
A blue assessor is a shy fish, and kind of a deep blue. Nice fish, but not outgoing enough for your tank mix, IMO.