The deep blue Crystal Cave of Svmnafellsjvkull (CORR) in Skaftafell, Iceland was created by the glacier from Vrffajvkull Volcano's icecap meeting the coastline. The deep blue color is due to centuries of compression removing air from the ice.
Aogashima Island, Japan - 青ヶ島 日本 while located in the Philippine Sea, is a volcanic Japanese island. The name Aogashima literally means 'blue island' and is technically part of Tokyo despite being located over 200 miles from central Tokyo.
Melissani Cave, on Kefalonia Island in Greece, features a sky-blue lake within the cave. The lake is shallow and clear, and is covered with stones at the bottom. The cave was rediscovered in (In Greek mythology, Melissani was the cave of the nymphs.