Why are hyperlinks blue?

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TLDR;

In January 1993, the company Mosaic did it first:

The first beta version of Mosaic was created for the X Window System for the University of Illinois. The original interface was black and white and did not have blue hyperlinks, but had black hyperlinks with a bordered outline. According to the X System user guide, the hyperlinks were underlined or highlighted. April 12, 1993 – Mosaic Version 0.13

In the changelog for Mosaic for version 0.13, there is one bullet that is of great importance to us:

Changed default anchor representations: blue and single solid underline for unvisited, dark purple and single dashed underline for visited.