The phrase Go X is a generic cheer of support for or solidarity with X in a competition, or more broadly used to express encouragement or admiration.

Let's go Red Sox!

I went to high school in White Bear Lake. Go Bears!

Go on, girl! (nowadays, more commonly You go, girl!)

Context is highly important as there are hundreds and hundreds of things blue could refer to; it could be cheering on police, it could be cheering on the US Democratic Party, it could be cheering on the Los Angeles Dodgers. Darren Criss is a graduate of the University of Michigan, whose colors are maize and blue but whose football team is cheered on simply as the "Blue," so that is as likely the intended meaning as any other, having no other context to go on.

The phrase Go X is a generic cheer of support for or solidarity with X in a competition, or more broadly used to express encouragement or admiration.

Let's go Red Sox!

I went to high school in White Bear Lake. Go Bears!

Go on, girl! (nowadays, more commonly You go, girl!)

Context is highly important as there are hundreds and hundreds of things blue could refer to; it could be cheering on police (in parallel with firefighter red), it could be cheering on the US Democratic Party (since the 2000 election; Republicans became identified with red at the same time for the same reason), it could be cheering on the Los Angeles Dodgers (Dodger blue has even become an X11 color). Darren Criss is a graduate of the University of Michigan, whose colors are maize and blue but whose football team is cheered on simply as the "Blue," so that is as likely the intended meaning as any other, having no other context to go on.