An addendum to 'true blue' & 'blue stocking' .. 'Devil and the deep blue sea' Let the rhythm & blues chain continue!
Between the devil and the deep blue sea: In difficulty, between two dangerous alternatives
The phrase was originally 'Between the Devil and the deep sea'. The sea turned blue much later and the phrase became well-known via the title of a popular song. 'Between the Devil and the Deep Blue Sea' was written by Ted Koehler and Harold Arlen, and recorded by Cab Calloway in 1931, although that version of the phrase may have been circulating earlier
The original phrase is probably of nautical origin. More research may throw some light.