Meaning/Usage: Asking someone why they are so sad.
Explanation: The "blue" in this phrase is the same "blue" of being sad.
some examples
1-Why so blue, is everything ok?
2-You look so depressed. Why so blue?
3-Why so blue? Did he hurt your feelings?
Converstation about the phrasal verb Why so Blue?
A-You seem a bit sad, why so blue?
B- My girlfriend and I got into an argument and I'm sad.
Other Common Sentences
1-Why are you so sad?
2-Why do you look depressed?