Lyrics:

I wondered alone one night.
Till I heard an orchestra play.
I met you when lights were bright,
And people were carefree and gay.
You were the beautiful lady in blue.
I was in Heaven just dancing with you.
You filled me with strange delight,
And softly you strolled away.

I dream of that night with you,
Lady when first we met.
We danced in a world of blue.
How can my heart forget.
Blue were your eyes,
And blue were the skies.
Just like the blue skirt you wore.
Come back blue lady come back.
Don't be blue anymore.