Yeah I figured something like that.

I found this very detailed explanation, in a nutshell skin scatters light. https://www.imt.liu.se/edu/courses/TBMT36/pdf/blue.pdf

And this list of animals with actual blue blood, when its healthy and oxygenated not de-oxygenated: http://www.buzzfeed.com/donnad/10-animals-that-bleed-blue