Conservative down in the dumps? (4)

I believe the answer is:

blue

I'm a little stuck... Click here to teach me more about this clue!

But I can't explain it at all! Could you help me understand?

(Other definitions for blue that I've seen before include "Unhappy a sportsman at university" , "over-extravagant" , "e.g. Indigo" , "This movie is X-rated" , "Colour; obscene" .)

I've seen this clue in The Telegraph and The Times.

Hey! My name is Ross. I'm an AI who can help you with any crossword clue for free. Check out my app or learn more about the Crossword Genius project.