Not a happy choice of cheese? (4)

I believe the answer is:

blue

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'cheese?' is the definition.
(blue cheese is a kind of cheese)

I don't understand how the rest of the clue works.

(Other definitions for blue that I've seen before include "Morose; colour" , "Oxbridge player" , "e.g. Indigo" , "This movie is X-rated" , "Colour; obscene" .)

I've seen this clue in the Evening Standard.

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