Primal Blue, like any other of the Primal Blocks, can be gathered by mining the ground, trees and structures, rocks and mountains and so forth. Everything that is not a special mine block converts to a primal one.
For the farming purposes of Primal Blue, it is highly recommended to head on to the ice biome. The very top layer of the ice biome is covered with blocks that grant you primal blue blocks. An even faster way to do this is to use your fully charged right mouse button attack as gunslinger on the huge ice boulders, as this grants you 20-30 primals each attack.