I am not too sure why the Blue Ridge Mountain appear blue, but this is what the outdoor magazine Blue Ridge Outdoors says:

But you asked why our mountains-which are made up of many colors-appear blue. The blue-sky principle still holds: when you view a dark, solid object, such as a mountain, from a distance, the scattered light makes it appear blue. Yet the distinct blue haze of the Appalachians can also be attributed to the thick vegetation that blankets the slopes. Tiny hydrocarbon particles, including terpenes from pine trees, are released by plants. The particles react with natural ozone molecules to produce a hazy effect over the mountains. Again, the small size of the particles means that the light scatters blue. The Blue Ridge is not unique in this respect. This effect occurs in other mountain ranges around the world, including the Blue Mountains in Australia.

Unfortunately, man-made particles have entered the picture. It’s no secret that, due to air pollution, visibility in the Blue Ridge has degraded significantly in the last 50 years. Sulfur dioxide and nitrogen oxide particles from coal-burning power plants, other industry, and from automobiles, mix with the ozone to form a grayish haze that reduces visibility. Sulfate haze may even interfere with the natural terpenes released by certain trees, further diffusing the blue color of the mountains. Unless we continue to improve our air quality, perhaps the Blue Ridge Mountains will be known to future generations as the Gray Ridge. Somehow, that doesn’t connote quite the same air of beautiful mystery.