You can remember them with the reason or origin of the phrases. - "blue" as melancholic or depressed: The color feels cool. It is the impression people get from the color. - "out of the blue": Think of it as "a thunderbolt out of the blue sky", which is something totally unexpected. Hence the meaning "unexpected" or "suddenly".

OUT OF THE BLUE: suddenly, seeming to come from nowhere. Examples: - The idea came to me from out of the blue. - Out of the blue, a car approached. BLUE: a sad mood or feeling Examples: - I'm staying at home today since I'm feeling a bit blue. - Rainy days always give me the blues. - https://www.youtube.com/watch?v=SbJpzYHEnPI

I am feeling blue/ she seems a bit blue lately - depressed Out of the blue - Suddenly. This phrase can not be said any other way. You will always see it in its full form as you do here.