Good question! It seems to have an interesting and uncertain history; the happiness part of course is from the sunny, cloudless blue sky. It's a very calming color often associated with the spiritual as used for lighting in theater. As for sadness etc. it may have to do both with calmness, ie in this case as melancholy and the fact that it has hues of gray. Here's the etymology of "blue" c.1300, bleu, blwe, etc., from O.Fr. bleu, from Frank. blao, from P.Gmc. *blæwaz, from PIE base *bhle-was "light-colored, blue, blond, yellow." "The exact color to which the Gmc. term applies varies in the older dialects; M.H.G. bla is also "yellow," whereas the Scandinavian words may refer esp. to a deep, swarthy black, e.g. O.N. blamaðr, N.Icel. blamaður 'Negro' " [Buck]. Replaced O.E. blaw, from the same PIE root, which also yielded L. flavus "yellow," O.Sp. blavo "yellowish-gray," Gk. phalos "white," Welsh blawr "gray," O.N. bla "livid" (the meaning in black and blue), showing the usual slippery definition of color words in I.E. The present spelling is since 16c., from Fr. influence. The color of constancy since Chaucer at least, but apparently for no deeper reason than the rhyme in true blue (1500). Blue (adj.) "lewd" is recorded from 1840; the sense connection is unclear, and is opposite to that in blue laws (q.v.). Blueprint is from 1886; the fig. sense of "detailed plan" is first attested 1926. For blue ribbon, see cordon bleu under cordon. Blue moon emblematic of "very rarely" suggests something that, in fact, never happens (cf. at the Greek calends), as in this couplet from 1528: Yf they say the mone is blewe, We must beleve that it is true. Many IE languages seem to have had a word to describe the color of the sea, encompasing blue and green and gray; e.g. Ir. glass (see Chloe), O.E. hæwen "blue, gray," related to har (see hoar), Serbo-Cr. sinji "gray-blue, sea-green," Lith. šyvas, Rus. sivyj "gray."