Well, I don't know if a blue orange would be a "blue" or if it'd still be an orange, though since the colour was named for the fruit (according to the online etymological dictionary), rather than the other way around, I suspect it'd still be an orange. I'm almost certain it's possible, and probably even fairly easy, to genetically engineer a blue orange, though - all you need to do is pick a nontoxic blue pigment and splice in the requisite gene to express an enzyme to make it from existing metabolites, and voila - weirdly coloured fruit.