Learn English – ‘Move to a new place’ – different way of saying it

This is in reference to a 'blue movie', a euphemistic term for a pornographic film.

It has since been toned down somewhat and phrases like a bit of blue can be used to say that something is 'adult' in nature. Often this includes dealing with sexual material but doesn't necessarily mean visually pornographic; a comedian who tells jokes with a sexual theme could be called 'a bit blue'.

going a bit blue then would mean that the programme/character in question is normally 'clean' but has begun to include more adult themes.

It would appear that the term has been used thus since the early 1800s, originating in Scotland, though a clear connection between the colour and the connotation has not been settled on.

N.B.: Bolton comedian Peter Kay is famous in England and well known for his family friendly stand up material. In his shows he will occasionally tell a joke with some sort of subtle sexual reference or other 'adult' theme and then follow the joke by saying 'a bit of blue for the dads there'.

Here is a SWAG on this one. I suspect that it is actually an idiom based on analogy with the much more grammatical "sooner or later." I think that it is a transformation from "I'll get around to it" to "please do it now", and it is done in a parallel way. The parallelism requires the substitution of "or" with just one word "than" to keep the rhythm the same.

"Sooner than later" is a pretty new expression, picking up in the 1940s, though "sooner or later" is a much older and more common expression.

As to its grammatical correctness; it is certainly idiomatic and idioms seem to be allowed a lot of latitude on the grammatical front. Which is to say, "eat your heart out" Strunk and White.