A bit late to this part, so I thought I'd chuck my two pence into the ring. Since the first two questions have been answered succinctly enough already. I'll focus on the last question. "Why are we blue?"
We play as a race known as the 'Seraphim'. Tall, oddly skinned humanoids that have recently started awakening all over the world. To me, it seems evident that the Seraphim were humans from the "Collapse" era. Somehow either thrown forwards in time, or otherwise preseved for a long period.
There are several things to note in the game that support this idea. First and foremost. The classes you pick in character creation are in reference to humanity's life in the tunnels. The Blackguard, for example, only existed during that period of time. Serving as the police and peacekeeping force of the underground. Malefactors were criminals of the underground, banished to the surface world. To name a few. The only way we would be able to 'fit' into one of those classes upon awakening into the world, is if we were already one in the past.
Second. All the descriptions of tapestries in the world are written in the first person; from your perspective. This is significant because the deescriptions on the tapestires shed light on events that happened during the Collapse period. Take for example the tapestry "Morning" which has the following description;
Or the Tapestry titled "Seraphim";
As for how those humans because Seraphim? I don't really know. What we do know is that the Seraphim are tied to temporality, being able to siphon stability from a temporal gear by (painfully) inserting it into their own bodies. Talking to traders, you'll learn about drifters, and the like. But the one thing they never mention is temporal storms. Whether this is because they're unaffected by them, or it's simply an oversight is unknown. But as it stands, only Seraphim are aware of, and impacted by them.
One journal entry mentioned the discovery of and creation of the "Prima Materia". Which is a concept in classical alchemy. To put it simply, Prima Materia is the starting matter from which all things originate. And was a fundamental step in the creation of the Philospher's Stone, otherwise known as the "Magnus Opus", or Great Work. One aspect people often overlook when considering the alchemists of old, is the pursuit of "self transumation". Not the act of turning lead into gold, but of perfecting the human mind and soul. I wonder if perhaps that was the achievement that then created the Seraphim.
It's also possibly tied to a machine called the "Lens". That seems to be responsible for the temporal instability. In the journal entry "Breakdown", the author (who I presume to be Jonas Falx, but I can't confirm that) writes;
That's about all I know and have speculated. Hopefully we'll get some more lore soon. I'm itching to see what comes next.