Sad Conservative? (4)

I believe the answer is:

blue

I believe this is a double definition.

'sad' is the first definition.
(I know that sad can be written as blue)

'conservative?' is the second definition.
(I've seen this before)

(Other definitions for blue that I've seen before include "Conservative > depressed" , "entertaining rabbi" , "Dismal" , "Morose; colour" , "Miserable; waste (money)" .)

I've seen this clue in The Telegraph.

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