I suspect that there are several word-plays going on here. In American myth and folklore, the full moon of each month is given a name, such as Wolf Moon, Storm Moon, Harvest Moon, Hunter's Moon, etc. A blue moon is a rare occurrence that happens about once every 2-3 years when a single season (three months) experiences four full moons; the third full moon in a season with four full moons is called the Blue Moon. There is no full moon specifically called the Killing Moon.
An Old Testament poem tells us that there is a time for everything under the sun; a time to give, a time to take, a time to heal, and a time to kill, etc. Calling something a killing time or killing moon would mean that somebody's or something's death is imminent and unavoidable.