Here's why:
* The name "Saphira": Saphira is a blue gemstone, and her name is a direct reference to this.
* The dragon's scales: While the book doesn't describe the egg's color, it does describe Saphira's scales as "a shade of blue so rich it bordered on violet."
* The cover art: The cover art for the book, and other adaptations of the story, often depict the egg as blue.
However, it's important to remember that the book doesn't actually say what color the egg is. This is a matter of interpretation and common understanding.