Lyrics:

I wondered alone one night
Till I heard an orchestra play
I met you when lights were bright
And people were carefree and gay
You were the beautiful lady in blue
I was in Heaven just dancing with you
You filled me with strange delight
And softly you strolled away

I dream of that night with you
Lady when first we met
We danced in a world of blue
How can my heart forget
Blue were your eyes
And blue were the skies
Just like the blue skirt you wore
Come back blue lady come back
Don't be blue anymore