Jesse sounds so girly to my ears, perhaps because I know a Jessica nicknamed Jessy.
Blue actually sounds quite masculine and seems to be not uncommon:
Blue Adams (born 1979), American football player
Adele Laurie Blue Adkins (born 1988) or simply Adele, English singer-songwriter and musician
Blue Balliett (born 1955), American author
Blue Barron (1913–2005), American orchestra leader
Blue Dixon (c. 1885–c. 1941), Australian rugby union player
Blue Edwards (born 1965), American basketball player
Sandra "Blue" Good (born 1944), associate of American criminal Charles Manson
Blue Howell (fl. 1930s), American football player and coach
Blue Mitchell (1930–1979), American trumpeter