Sky is the reflection of Krsna's bodily effulgence; therefore it is blue.

– Sri Caitanya-caritamrta Lecture, Madhya-lila 6.254 — Los Angeles, January 8, 1968

So jyotisam api jyotis tamasah param. So this jyoti, this illumination, is beyond this material world. And because there is illumination, that illumination is reflected in the material world. You will find the reflection, bluish reflection, in the sky. It means that brahmajyoti is bluish because it is coming out from the blue body of Krsna. Therefore it is bluish.

– Bhagavad-gita 13.18 Lecture — Bombay, October 12, 1973