Blue to enhance cold looking shots of the puppet.
Lucas was a very careless film-maker. Listening to the StarWars.com audio commentary to
Star Wars, he was referred to as a documentary style film-maker. He picked shots that fitted his vision even if they didn't match in continuity - such as Chewie's bandolier or Han's gloves appearing and disappearing every few seconds; or he would flip shots frequently so that C-3PO's oil stain would change sides, for example.
Kershner adopted a similar style in ESB. I noticed flipped shots where Imperial officers' rank insignia appeared on the wrong side.
I don't believe the coat "was intended to be blue", but that certain shots of a brown one were intended to look very cold.