"Minulla on sininen vesi." doesn't sound that good because vesi is a mass noun and it should be in partitive case here, "Minulla on sinistä vettä."
In the nominative case it points at a whole something of water and that's usually what one cannot really possess as a whole.
Edit: Fixed my own typo.
"Minulla on sininen vesi" - I have the blue water. (A bit odd, but technically also possible)
"Minulla on sinistä vettä" - I have (some) blue water.
"Minulla on sininen lasi" - I have a blue glass.
"Minulla on sininen lasi vettä" - I have a blue glass of water. (filled with/containing water)
"Minulla on sininen vesilasi" - I have a blue water glass.