From what I have been told by my friends the answer is no. I was told that only police vehicles and other state vehicles can have blue or red lights. But as you see on the roads people down here have them anyway. Either cops don't care or those people have not been pulled over yet. I say if you really don't care about the risks involved go ahead, but why give a cop an excuse to mess with you in the first place.
One question for you, why blue? I think the yellow looks really good, so good I want my turn signals to be the same yellow.