In the first game, four Blue Keys are found on the third level of Crossbone Isle. They are used to open blue doors on that floor, each of which have a treasure chest sealed behind. Each of these keys can open any of the blue doors. The keys are each set on tiny isolated platforms. To get each key, the player must use Catch while facing the key on a platform two squares away.
In the second game, the Blue Key is an item found in the Jupiter Lighthouse. It grants access to one of the two "towers" where the player must activate a statue figuring a bowman in order to open the top of the lighthouse. The Blue Keys from the first game found at Crossbone Isle can also be transferred to the second game by using data transfer. However, their description will tell you they are a key to a door in Jupiter Lighthouse, not Crossbone Isle.