Blue swallow (4)
I believe the answer is:
down
This clue is a double definition.
'blue' is the first definition.
(both can mean sad)
'swallow' is the second definition.
(I've seen this before)
(Other definitions for down that I've seen before include "Unhappy; soft feathers" , "Melancholy" , "somewhere in Northern Ireland to > drink" , "Out of sorts" , "In a low mood; hill" .)