1894 Brewer’s / B / Blue Murder
To shout blue murder. Indicative more of terror or alarm than of real danger. It appears to be a play on the French exclamation morbleu; there may also be a distinct allusion to the common phrase “blue ruin.”
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Entry taken from Dictionary of Phrase and Fable, edited by the Rev. E. Cobham Brewer, LL.D. and revised in 1895.