I was a cheesemonger for 10 years. Cheese is older than writing so on some level it's guesswork to figure out how some things came about. The first blues were almost certainly accidents.

Cheese, in general, is a great environment for mold to grow, so to get bluing, you need the mold spores (and mold spores are EVERYWHERE, especially in cool damp places like caves and cellars) and air pockets. Most traditional cheeses don't have intentional air pockets but cracks will form over time here and there from weight, handling ect. It wouldn't take a lot from there to go "hey, I like the moldy parts" to "how do I make more moldy parts" and doing things like finding which cellars made the moldiest cracks, dropping from a height to make more fissures, and mixing in moldy stuff to try and get more. (Roquefort was originally made by molding loaves of bread in the caves and grinding them up into the curd) over time real recipes get developed and cheese gets made with with the intention of blueing it.