Yes, it has blue skies and sea, but light blue, where there is a word for it (γαλανός or κυανός or γαλάζιος), so actually more than one word for it ;)
I assume that μπλε comes from French "bleu". In Modern Greek is used the word κύανος?
Ancient Greek (and so modern Greek) did not have a native word for blue, because this color is rarely present in nature. Actually, the first civilization that was able to produce blue was the Egyptians and is (the?) one ancient civilization that had a word for blue. Κυανός=γαλάζιος=Light blue . Κυανός is used in compound words and science whereas γαλάζιος is used in everyday life.
Russian is similar to an extent - it has words for light blue and dark blue, but not a single word for blue.
Μπλε comes from bleu, indeed. The Greek word κυανός (=light blue) is hardly used.