I think it is really hard to get natural blue colourings...which I guess is what you are after.
Smarties have only just found one (they removed hte blue so they could be colouring free, but it has just come back).
Also as Boys say - blue + yellow = green...so you would need loads of teh colouring to get over the green-ness.
The alternative is to do the icing (which starts white) in blue??
I believe that pastes are supposed to be better at giving a deep colour than liquids.