Ok, a little bit of context
The Mexican TLKoB Facebook site recently gave out a collection of their plushies to whoever answered a series of questions, like "How many giraffes are there in the IJCWTBK segment?"

Sadly I saw it late and didn't get to participate >.< but Jead did, and one of the questions was "Why is Zazu blue?"
I've never wondered it myself Is there a real answer to this? Like, has it ever been mentioned somewhere by the designers? Or was it just to mess with our heads?

What would you answer to this?