Why do some things happen only once in a blue moon?
This rather poetic image is based on an observable phenomenon. On rare occasions (once or twice every two years or so) the moon does appear to be blue.
As to why it does, I have found no evidence that the moon is ever sad, so this cannot be a reference to a lunar state of mind. And the fact that astronauts have brought back lunar rocks denies us the luxury of speculating that the moon might be made from bleu, not green cheese.
The most common explanation for this phenomenon is that dust or ice crystals in the atmosphere filter the moonlight, scattering the light in a way that makes the moon look blue. For instance, a forest fire in Canada in 1950 blew enough soot and ashes to England to produce an electric blue moon. These conditions produce a blue moon seldom enough to make the image synonymous with something rare.