I am looking for the particular word (if it exists in English) for the ghastly blue colour of a dead person...
Pathological blue coloration of the skin is known as cyanosis:
a bluish or purplish discoloration (as of skin) due to deficient oxygenation of the blood
A particularly notorious manifestation of this symptom occurred during the pan-global influenza epidemic of 1918-1919, and was termed heliotrope cyanosis because of the resemblance to the colour of the heliotrope flower, particularly in the faces of sufferers from the disease (a result of the deterioration of their lungs).
Livid or lividity is the correct term.
I can assure you that the recently dead are indeed blue. Rather, it depends upon the position, in situ at time of death and in the hours shortly after. Blood pools when there is no heartbeat. Where it pools, there is dark blue discoloration, visible very clearly.
See "postmortem lividity" or "cadaveric lividity" 
A purple coloration of dependent body parts, except in areas of contact pressure, appearing within one half to two hours after death, as a result of gravitational movement of blood within the vessels. The coloration begins to form immediately after death and is usually perceptible within two hours following the cessation of the circulation of the blood in the body.
Also, see "lividity" 
Say, do you watch crime shows such as CSI? Do you recognize the word lividity? What do they use this word in judging? The colour of corpses. Lividity names a discoloration caused by blood coagulating under the skin. This is one of the things that happen at a predictable time after death: Latin livor mortis.
It is different than the color of bruising. When there is bruising, the discoloration is mottled. It may be more deeply discolored, almost black-purple, but it isn't as sad or disturbing, as it indicates that there is still a heartbeat, and life.
Pallor may suggest the idea:
a pale condition, esp when unnatural: fear gave his face a deathly pallor.
unusual or extreme paleness, as from fear, ill health, or death.
Source:Collins English Dictionary
(Latin: pallor "paleness", mortis "of death") is a post mortem paleness which happens in those with light/white skin almost instantly (in the 15–25 minutes after the death) because of a lack of capillary circulation throughout the body.1 The blood sinks down into the lower parts (due to gravity) of the body creating livor mortis.
The other answers are good, but I think you have a better likelihood of being understood if you use the word ashen instead:
1. drained of colour; pallid
2. consisting of or resembling ashes
3. (Colours) of a pale greyish colour
Example sentences: The ashen body laid lifeless on the floor. Or His face turned ashen as his vitality waned. Or The Borg appear ashen and even deathly.1
In my experience, dead bodies do not typically look bluish, but that is more a matter of opinion than fact. Certainly, suffocated persons look bluish, but otherwise, I find they do not. They look pale or grayish even.
I would readily describe the look of a very ill person as ashen, and that same look carries into death as well.