Blue fish caught inside (4)
I believe the answer is:
racy
'blue' is the definition.
('racy' can be a synonym of 'blue')
'fish caught inside' is the wordplay.
'fish' becomes 'ray' (ray is a kind of fish).
'caught' becomes 'c' (cricket abbreviation).
'inside' is an insertion indicator.
'ray' enclosing 'c' is 'RACY'.
(Other definitions for racy that I've seen before include "Suggestive; spirited" , "Sexually suggestive" , "Slightly indecent" , "Spicy" , "Risqu" .)