which water animal have blue blood

Cephalopods (squid, octopus, cuttlefish) have blue blood since they use haemocyanin to bind oxygen rather than haemoglobin (which vertebrates use and which is red). From memory I think most molluscs use haemocyanin (in which case the blood of winkles, mussels etc is presumably blue too).

This is also true of many (most? all?) crustaceans, including lobsters.

I suppose we should expect King prawns to have especially blue blood then....

...sorry, I'll get my coat.

I just wanted to add a little bit about other animals that have strange:) coloured blood:

Humans blood is made of an amber coloured liquid called plasma and numerous red blood cells (about 25,000,000,000,000), which lend their colour to our blood. Each red blood cell uses haemoglobin (or hemoglobin) to transport oxygen, which gives our oxygenated/deoxygenated blood a bright/dark red colour respectively. With the exception of a few fish, all vertebrates use haemoglobin to carry oxygen.

But it may be surprising to learn how many other compounds are used by animals to carry oxygen. As mentioned by you, other animals use haemocyanin (hemocyanin) instead of haemoglobin to transport oxygen as it is much more efficient. Since haemocyanin is copper based, it gives the blood a bluish appearance. Polychaetes, wormy sea creature, use chlorocruorin to move oxygen which makes their blood green when dilute, and vivid red at higher concentrations. Some bottom-dwelling worms and brachiopods use haemerythrin (or hemerythrin) an iron-based compound which is bright pink or violet when oxygenated. And vanadium chromagen, a pigment found in sea squirts, ascidians, and tunicates turns their blood green, blue or orange.

More on the topic can be found here:

"With the exception of a few fish, all vertebrates use haemoglobin to carry oxygen."

Woah!  What are the exceptions?  Why?  What do they use instead?  What is the evolutionary history here?

You threw away the most fascinating part of your post in a side-comment!

Antarctic icefish don't make haemoglobin, and pump a lot more blood than other fish to compensate. They may have other adaptations. I think they also don't have myoglobin in some muscles!