Blue Sigils appear in the lower half of the first section of the Tziah Block within Tartarus. They may also be accompanied by other shadow types. They will later appear in Cocytus within the Abyss of Time.
The Blue Sigil appears in Chapters 5 and 6 of Void Quest within the Midnight Channel. It will continually cast Megido on the party and is usually supported by an Almighty Hand and Whimsical Papillon. Upon being defeated, it may drop the Alloy Signature material. Selling 6 Alloy Signatures at Daidara will unlock the Bashin daggers for Yosuke Hanamura in the shop.
In Golden, Blue Sigil appears in Chapters 1 through 8. It may drop Bloodstone for trade at Shiroku Pub.