"The blues" is short for "the blue devils", which meant depression as early as the 18th century. The music was named after that
Doha El Farh
Because The word “blue” was first used by Chaucer in about 1385, in his poem, Complaint of Mars. Washington Irving is credited with having first used the term “the blues” in 1807, as a synonym for sadness: “He conducted his harangue with a sigh, and I saw he was still under the influence of a whole legion of the blues.” Irving was shortening the phrase “blue devils” which was a synonym dating back to Elizabethan time to describe a menacing presence. And the people use it for express sadness and the famous quotes of \"feeling blue\"
María José Labrador Mellado
In Greek mythology, blue is associated with rain. Whenever Zeus was angry he would, create a storm but whenever he was sad, make it rain. So, the color is connected with the feeling. Blue is associated to tears, sadness.