From this introduction to various UK archives:
Blue Books for Colonial British Africa in the Penn Libraries
Blue Books are annual reports of the British colonies. Colonial regulations issued in 1843 state:
"The Annual Blue Book containing accounts of the Civil Establishment, of the Colonial Revenue and Expenditure and of various statistical particulars, etc. ... must be filled up with the greatest possible accuracy and the Statistical Tables must be full and complete."
This list includes blue books for Africa. Many blue books for non-African colonies can be identified by doing a title search for blue book in Franklin.
So the blue books are a particular (very basic) briefing materials which all diplomatic assets are expected to have read, to have understood, and to use to best advantage.
Other colours are used by the Foreign Department for more detailed, often classified, briefing material, as for example below.
So the accusation being made, rightly or wrongly, is that Balfour could not be bothered to engage in the most basic degree of research prior to making policy.
This answer concerning the Molotov-Ribbentrop pact, by way of example, discusses information in the French Yellow Book for Poland that notes, as early as May 7, 1939, the expectation that Germany and the Soviet Union appeared to be preparing for another partition of Poland.