Blue foreign articles in Australia (4,5)
I believe the answer is:
down under
'australia' is the definition.
(I've seen this in another clue)
'blue foreign articles' is the wordplay.
'blue' becomes 'down' (both can mean sad).
'foreign articles' becomes 'under'.
'down'+'under'='DOWN UNDER'
'in' acts as a link.
(Other definitions for down under that I've seen before include "In Oz, say?" , "Informal location of Australia" , "Location of those in the Antipodes" , "Far beneath, like Australia" , "Australia and/or New Zealand" .)