Shrimps don't have the same type of blood we do and do not use hemoglobin. Their "blood" is a substance called hemolymph and contains hemocyanin which turns blue in the presence of oxygen. This would also add to the blue coloration seen where there is a lack of pigment.
That's interesting because just yesterday I lost a berried female tibee that had two eggs on her. I did a little surgery to extract the eggs for artificial hatching attempts and was holding the female shrimp with plant tweezers at the base of her tail. Her tail broke so I moved the tweezers up a bit on her body and there was red liquid coming out of her. I had to keep wiping it off the tweezers as a matter of fact. I had her on a white paper plate so no confusion as to the color. There is nothing red within her body so my thought was that the blood was possibly clear unless in the presence of oxygen then turns red but you say it turns blue. So I wonder what all that red liquid was coming out of the area I squished that shrimp.