This is a common part of the Australian vernacular, for example:

"She was screaming blue murder, fit to wake the neighbours", or

"He always gets away with blue murder, the bastard", or

"I got shafted so bad, it was blue murder".

If you are a foreigner and come to Australia, it is advisable that you listen to a few other people use this phrase before using it, as you are liable to use it in the wrong sentence and be forced to endure uncomfortable silences.