LOL, I just went and cracked open a blue egg to compare it to a shell of a brown egg that I had. The brown egg has a bright white inner shell and the blue egg does have a light blue inner shell. Hell, I have no idea why that would be, sorry. Very good question though!
I don't know why, but that is the way it is. Chickens can lay eggs with a white shell or a blue shell. The blue shells come from the araucana or ameraucana breeds. All other chickens have a white egg shell. Eggs can be coated in some shade of brown or not. A green egg is a blue shell with brown coating, from a chicken that is a mix between a blue egg laying breed and a brown egg laying breed.
Chickens can have skin that is yellow, white or black, too.