The second last scene in part 4
Or just a mishap in the editing room?
It's safe to say that nothing is ever a mistake in Lynch's world.
Perhaps the blue refers to a sort of colder mentality of Cole and Rosenfield. Given the nature of their conversation in the scene, both seem rather somber about the situation they are in. They were initially elated to finally find Cooper again, yet are worried, or blue, about the situation they are now in.