I guess that's why they call it the blues

When I first heard the title of this well-known Elton John song, I thought, that's an interesting question. Why do they call it the blues?

I was very disappointed to learn that, though the song keeps saying "I guess that's why they call it the blues," it never makes even the tinest attempt to answer the question. There's never even anything to be an antecedent for "that". Worse yet, no one else even seems to notice.

Then I chuckle at myself for being such a geek.

But... why do they call it the blues, anyway? Wikipedia says this:

The phrase the blues is a reference to having a fit of the blue devils, meaning 'down' spirits, depression and sadness. An early reference to "the blues" can be found in George Colman's farce Blue devils, a farce in one act (1798).

But that doesn't answer the question either. Why are the devils blue and not, say, yellow? For every image I can summon up in which blue is melancholy (a dark sunset, for instance) there's another where it's positively uplifting (a bright blue sky). The psychology of color is a fascinating subject I'd like to go into at more length one day.